Barrier style contracts under Lévy processes: an alternative approach

dc.contributorFGV
dc.creatorFajardo, José
dc.date.accessioned2018-05-10T13:36:46Z
dc.date.accessioned2022-11-03T20:12:56Z
dc.date.available2018-05-10T13:36:46Z
dc.date.available2022-11-03T20:12:56Z
dc.date.created2018-05-10T13:36:46Z
dc.date.issued2015-04
dc.identifier0378-4266
dc.identifierhttp://hdl.handle.net/10438/23460
dc.identifier10.1016/j.jbankfin.2015.01.002
dc.identifier000351797600012
dc.identifierFajardo, Jose/0000-0002-2743-607X
dc.identifierFajardo, Jose/E-4195-2013
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5033867
dc.description.abstractIn this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Levy processes, which includes the CGMY model, generalized hyperbolic model and Meixner model, frequently used in the literature. To achieve this goal we first assume that a symmetry property holds, i.e., we assume that under a change of numeraire the risk neutral distribution does not change, and then we analyze the most realistic asymmetric case. (C) 2015 Elsevier B.V. All rights reserved.
dc.languageeng
dc.publisherElsevier Science Bv
dc.relationJournal of banking & finance
dc.rightsrestrictedAccess
dc.sourceWeb of Science
dc.subjectBarrier contracts
dc.subjectLévy processes
dc.subjectSymmetry
dc.titleBarrier style contracts under Lévy processes: an alternative approach
dc.typeArticle (Journal/Review)


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