A comprehensive method for exotic option pricing

Preprint English OPEN
Agliardi, Rossella (2010)
  • Subject: Quantitative Finance - Pricing of Securities
    arxiv: Computer Science::Computer Science and Game Theory

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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