Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance
Year of publication: |
2006-02
|
---|---|
Authors: | Cartea, Alvaro ; Howison, Sam |
Institutions: | Birkbeck, Department of Economics, Mathematics & Statistics |
Subject: | Levy-Stable processes | stable Paretian hypothesis | stochastic volatility | alpha-stable processes | option pricing | time-changed Brownian motion |
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