The fact that the expected payoffs on assets and call options are infinite under most log-stable distributions led Paul … Fourier Transform (FFT) can be used to quickly evaluate options directly from the characteristic function of any RNM. The log …-stable RNM characteristic function presented here therefore greatly facilitates the pricing of options on log-stable assets, by …

short-term options exhibiting similar moneyness, pricing errors tend to decrease with the time to maturity. … departures from the observed prices can be seen for the deep out-of-the-money short-term call options where mispricing seems to … comparative empirical analysis with recent approaches to this problem is made for European out-of-the-money call options for which …