Barrier Options under Lévy Processes: a Simple Short-Cut

2013/03/25 by Fajardo, José
#91G20 #91G40 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR)

paper · doi:10.48550/arxiv.1303.6340

Abstract

In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of Lévy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case of not satisfying that property some approximations can be obtained.

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