Cliquet Option Pricing with Meixner Processes

Option Pricing with Selfsimilar Additive Processes

The use of time-inhomogeneous additive processes in option pricing has become increasingly popular in recent years due to the ability of these models to adequately price across both strike and maturity with relatively few parameters. In this paper we use the property of selfsimilarity to construct two classes of models whose time one distributions agree with those of prespecified Lévy processes...

Option Pricing with Lévy-Stable Processes

In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Lévy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Lévy-Stable process.

Option pricing with log-stable Lévy processes

We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix E onto a non-random vector. The scaling index E models prices of the individual financial assets (stocks, mutual funds, etc.). We find the functional form of the characteristic function of real powers of the price returns a...

Meixner Processes in Finance ∗

In the Black-Scholes option price model Brownian motion and the underlying Normal distribution play a fundamental role. Empirical evidence however shows that the normal distribution is a very poor model to fit real-life data. In order to achieve a better fit we replace the Brownian motion by a special Lévy process: the Meixner process. We show that the underlying Meixner distribution allows an ...

Asymmetric Jump Processes: Option Pricing Implications