17 citations · 27 across the 5 of their papers we have counts for
3 papers · 1 filter
Regularization and analytic option pricing under -stable distribution of arbitrary asymmetry
Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert +1
We consider a non-Gaussian option pricing model, into which the underlying log-price is assumed to be driven by an -stable distribution. We remove the a priori divergence of the…
Distributional Mellin calculus in , with applications to option pricing
Jean-Philippe Aguilar, Cyril Coste, Hagen Kleinert +1
We discuss several aspects of Mellin transform, including distributional Mellin transform and inversion of multiple Mellin-Barnes integrals in and its connection to…
Non-Gaussian analytic option pricing: a closed formula for the Lévy-stable model
Jean-Philippe Aguilar, Cyril Coste, Jan Korbel
We establish an explicit pricing formula for the class of Lévy-stable models with maximal negative asymmetry (Log-Lévy model with finite moments and stability parameter …