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Closed-Form Option Pricing For Exponential Lévy Models by chengjiajun3057 is a document available to read on EtoBox.
This document presents a unified framework for closed-form option pricing under various exponential Lévy models, addressing the limitations of existing numerical techniques. It utilizes the Mellin Transform and residue calculus to derive efficient pricing formulas for both vanilla and exotic options, demonstrating their practical applicability and accuracy through numerical experiments. The work highlights the advantages of closed-form expressions, including ease of implementation, error control, and robust
- Author
- chengjiajun3057
- Language
- EN