24 citations · 59 across the 23 of their papers we have counts for
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q-fin.PR2014
Option Pricing for Symmetric Lévy Returns with Applications
Kais Hamza, Fima C. Klebaner, Zinoviy Landsman +1
This paper considers options pricing when the assumption of normality is replaced with that of the symmetry of the underlying distribution. Such a market affords many equivalent ma…
q-fin.PR2013
Volatility in options formulae for general stochastic dynamics
Kais Hamza, Fima Klebaner, Olivia Mah
It is well-known that the Black-Scholes formula has been derived under the assumption of constant volatility in stocks. In spite of evidence that this parameter is not constant, th…