On continuity properties for option prices in exponential Lévy models

Details On continuity properties for option prices in exponential Lévy models On continuity properties for option prices in exponential Lévy models

2009-04-21

arxiv.org/abs/0904.3274v1

Mathematics

Probability

24 pages, no figures

Scientific paper

For a converging sequence of exponential L\'evy models, we give conditions
under which the associated sequence of option prices converges. We also study
the behaviour of the prices when no such convergence holds. We then consider
two special cases, first when the martingale measure is chosen by minimisation
of entropy and then when it minimises Hellinger integrals.

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