8 citations · 8 across the 2 of their papers we have counts for
3 papers
q-fin.PR2013
Barrier Options under Lévy Processes: a Simple Short-Cut
José Fajardo
In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of Lévy processes. To achieve our goal we assum…
math.PR2008★ 8 cited
Skewness Premium with Lévy Processes
José Fajardo, Ernesto Mordecki
We study the skewness premium (SK) introduced by Bates (1991) in a general context using Lévy Processes. Under a symmetry condition Fajardo and Mordecki (2006) obtain that SK is gi…
math.PR2008
Symmetry and Time Changed Brownian Motions
José Fajardo, Ernesto Mordecki
In this paper we examine which Brownian Subordination with drift exhibits the symmetry property introduced by Fajardo and Mordecki (2006). We obtain that when the subordination res…