Barrier style contracts under Lévy processes once again

Research Article

Abstract

In this paper we present new pricing formulas for some Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed, complementing in this way previous findings in Fajardo (J Bank Financ 53:179–187, 2015). Also, we show how to implement our new formulas.

Keywords

Skewness Lévy processes Absence of symmetry Barrier contracts 

JEL Classification

C52 G12 

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Copyright information

© Springer-Verlag GmbH Germany 2017

Authors and Affiliations

  1. 1.Brazilian School of Public and Business AdministrationGetulio Vargas FoundationRio de JaneiroBrazil

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