A comprehensive method for exotic option pricing

Details A comprehensive method for exotic option pricing A comprehensive method for exotic option pricing

2010-01-19

arxiv.org/abs/1001.3308v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

This work illustrates how several new pricing formulas for exotic options can
be derived within a Levy framework by employing a unique pricing expression.
Many existing pricing formulas of the traditional Gaussian model are obtained
as a by-product.

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