Symmetries and Pricing of Exotic Options in Lévy Models
نویسندگان
چکیده
Standard models fail to reproduce observed prices of vanilla options because implied volatilities exhibit a term structure of smiles. We consider time-inhomogeneous Lévy processes to overcome these limitations. Then the scope of this paper is two-fold. On the one hand, we apply measure changes in the spirit of Geman et al., to simplify the valuation problem for various options. On the other hand, we discuss a method for the valuation of European options and survey valuation methods for exotic options in Lévy models.
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