A comprehensive method for exotic option pricing
Rossella Agliardi
TL;DR
This paper introduces a unified approach to derive pricing formulas for exotic options within a Levy process framework, encompassing many traditional Gaussian model formulas as special cases.
Contribution
It presents a comprehensive method that unifies the derivation of exotic option prices under Levy models, extending beyond traditional Gaussian assumptions.
Findings
Derivation of new pricing formulas within Levy models
Recovery of traditional Gaussian model formulas as special cases
A unified framework for exotic option pricing
Abstract
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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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Stochastic processes and statistical mechanics