Option pricing under some Lévy-like stochastic processes
A generalization of the Lèvy model for financial options is considered which employs pseudodifferential operators with symbols depending on the state variables throughout a small parameter ε . Adapting the classical method of the construction of a parametrix by means of the pseudodifferential calcul...
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| Veröffentlicht in: | Applied mathematics letters 2011-04, Vol.24 (4), p.572-576 |
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| creator | Agliardi, Rossella |
| description | A generalization of the Lèvy model for financial options is considered which employs pseudodifferential operators with symbols depending on the state variables throughout a small parameter
ε
. Adapting the classical method of the construction of a parametrix by means of the pseudodifferential calculus an approximate solution to the pricing problem is derived and its implication in terms of the volatility smile, even in very stylized models, is obtained. |
| doi_str_mv | 10.1016/j.aml.2010.11.015 |
| format | Article |
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ε
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ε
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| ispartof | Applied mathematics letters, 2011-04, Vol.24 (4), p.572-576 |
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| language | eng |
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| source | Elsevier ScienceDirect Journals Complete - AutoHoldings; EZB-FREE-00999 freely available EZB journals |
| subjects | Approximation Calculus Construction costs Exact sciences and technology Lévy processes Mathematical analysis Mathematical models Mathematics Numerical analysis Numerical analysis. Scientific computation Operator theory Option pricing Pricing Pseudo differential operators Sciences and techniques of general use Smile Stochastic processes Symbols Volatility |
| title | Option pricing under some Lévy-like stochastic processes |
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