Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model

Details

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

J. Aguilar, J. Korbel, Simple Formulas for Pricing and Hedging European Options in the Finite Moment Log-Stable Model, Risks 7(2), 36 (2019)