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What is Option Pricing With Levy Process about?
This paper presents a semi-parametric method for option pricing using Levy processes, extending the Black-Scholes model to account for market anomalies like the volatility smile. It provides explicit formulas for option prices through Fourier transforms and discusses how to infer the characteristics of the Levy process from market data. The approach encompasses both continuous diffusion and jump processes, offering a comprehensive framework for modeling financial derivatives.
- Author
- yidangmonk
- Language
- EN