Lévy driven models and derivative pricing

Abstract

We develop a general method for derivative pricing. This approach has its roots in Shannon's Information Theory. The notion of $\lambda$-analyticity of Lévy models is introduced on the basis of which new representations of the pricing integral are obtained. It is shown that popular in applications Lévy models are $\lambda$-analytic. We apply these results to derive a general algorithm for pricing of European call options.

Cited by in corpus (1)

• Pricing of basket options I