Additive logistic processes in option pricing

Option Pricing with Selfsimilar Additive Processes

The use of time-inhomogeneous additive processes in option pricing has become increasingly popular in recent years due to the ability of these models to adequately price across both strike and maturity with relatively few parameters. In this paper we use the property of selfsimilarity to construct two classes of models whose time one distributions agree with those of prespecified Lévy processes...

Asymmetric Jump Processes: Option Pricing Implications

Option Pricing with Lévy-Stable Processes

In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Lévy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Lévy-Stable process.

Option pricing with log-stable Lévy processes

We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix E onto a non-random vector. The scaling index E models prices of the individual financial assets (stocks, mutual funds, etc.). We find the functional form of the characteristic function of real powers of the price returns a...

Option pricing using multivariate Lévy processes

For d-dimensional Lévy models we provide a method for Finite Element-based asset pricing. We derive the partial integrodifferential pricing equation and prove that the corresponding variational problem is well-posed. Hereto, an explicit characterization of the domain of the bilinear form is given. For the numerical implementation the problem is discretized by sparse tensor product Finite Elemen...