Peter Tankov
Abstract
Abstract Exponential Lévy models generalize the classical Black and Scholes setup by allowing the stock prices to jump while preserving the independence and stationarity of returns. This article introduces most common examples of such models and discusses the pricing and hedging of options in this framework.
OpenAlex reports 4 citations for this work. Citation counts describe recorded attention and do not establish research quality.
A contribution statement is not available in the OpenAlex record.
Method details are not available in the OpenAlex metadata.
Findings are not separately available in the OpenAlex metadata.
Limitations are not available in the OpenAlex metadata.
Application details are not available in the OpenAlex metadata.
Abstract Exponential Lévy models generalize the classical Black and Scholes setup by allowing the stock prices to jump while preserving the independence and stationarity of returns. This article introduces most common examples of such models and discusses the pricing and hedging of options in this framework.
Key concepts: Exponential function, Jump, Mathematical economics, Econometrics, Independence (probability theory), Stock (firearms), Financial economics, Lévy process