We establish an explicit pricing formula for a class of non-Gaussian models (the Levy-stable, or Log-Levy model with finite moments and stability parameter between 1 and 2) allowing a straightforward evaluation of an European option , without numerical simulations and with as much accuracy as one wishes . The formula can be used by any practitioner, even if not familiar with the underlying multidimensional residue theory . We test the efficiency of the formula, and compare it with numerical methods.
We establish an explicit pricing formula for the class of L\'evy-stable models with maximal negative asymmetry (Log-L\'evy model with finite moments and stability parameter 1 <\alpha\leq 2) in the form of rapidly converging series. The series is obtained with help of Mellin transform and the residue theory in \mathbb{C straightforward evaluation of an European option with arbitrary accuracy without the use of numerical techniques . The formula can be used by any practitioner, even if not familiar with the underlying mathematical techniques . We test the efficiency of the formula, and compare it with numerical methods.
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a class of non-Gaussian models (the Levy-stable, or Log-Levy
the class of L\'evy-stable models with maximal negative asymmetry (Log-L\'evy
D
between
R
and
<\alpha\leq
R
allowing a
in the form of rapidly converging series. The series is obtained with help of Mellin transform and the residue theory in \mathbb{C
R
, without numerical simulations and with as much accuracy as one wishes
with arbitrary accuracy without the use of numerical techniques
R
multidimensional residue theory
mathematical techniques