scholarly journals Multi-asset option pricing based on exponential Levy process

2013 ◽  
Author(s):  
Nan Liu ◽  
Meiling Wang ◽  
Xuebin Lu
Keyword(s):  
Option Pricing ◽  
Lévy Process ◽  
Levy Process ◽  
Exponential Lévy Process

scholarly journals A fuzzy approach to option pricing in a Levy process setting

2013 ◽  
Vol 23 (3) ◽  
pp. 613-622 ◽  
Author(s):  
Piotr Nowak ◽  
Maciej Romaniuk
Keyword(s):  
Option Pricing ◽  
Lévy Process ◽  
Fuzzy Numbers ◽  
Levy Process ◽  
Martingale Measure ◽  
Fuzzy Arithmetic ◽  
European Option ◽  
European Call Option ◽  
Log Price ◽  
Geometric Levy Process

Abstract In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets.We assume that some parameters of the financial instrument cannot be precisely described and therefore they are introduced to the model as fuzzy numbers. Application of fuzzy arithmetic enables us to consider various sources of uncertainty, not only the stochastic one. To obtain the European call option pricing formula we use the minimal entropy martingale measure and Levy characteristics.

First exit from an open set for a matrix-exponential Lévy process

2017 ◽  
Vol 127 ◽  
pp. 104-110
Author(s):  
Yu-Ting Chen ◽  
Yu-Tzu Chen ◽  
Yuan-Chung Sheu
Keyword(s):  
Lévy Process ◽  
Matrix Exponential ◽  
Levy Process ◽  
Open Set ◽  
Exponential Lévy Process

scholarly journals Property Claim Services by Compound Poisson Process And Inhomogeneous Levy Process

2018 ◽  
Vol 6 (1) ◽  
pp. 32
Author(s):  
Muhammed A. S. Murad
Keyword(s):  
Poisson Process ◽  
Lévy Process ◽  
Compound Poisson Process ◽  
Levy Process ◽  
Arrival Process ◽  
Compound Poisson ◽  
Process Factor ◽  
Before And After ◽  
Exponential Lévy Process ◽  
Loss Index

In this paper, stochastic compound Poisson process is employed to value the catastrophic insurance options and model the claim arrival process for catastrophic events, which were written in the loss period , during which the catastrophe took place. Here, a time compound process gives the underlying loss index before and after  whose losses are revaluated by inhomogeneous exponential Levy process factor. For this paper, an exponential Levy process is used to evaluate the well-known European call option in order to price Property Claim Services catastrophe insurance based on catastrophe index.

Option pricing and hedging under a stochastic volatility Lévy process model

2011 ◽  
Vol 15 (1) ◽  
pp. 81-97 ◽  
Author(s):  
Young Shin Kim ◽  
Frank J. Fabozzi ◽  
Zuodong Lin ◽  
Svetlozar T. Rachev
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Lévy Process ◽  
Process Model ◽  
Levy Process
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