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• Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing

  BNET - 2004-03-27

  This paper derives analytic expressions for the value of European put and call options when the stock process follows an exponential Levy-Stable process. It is shown that the generalized Black-Scholes operator for the Levy-Stable case can be obtained as an asymptotic approximation of a process where the random variable follows...

  Tags: Pricing Strategy, University Of Oxford, Investment, Pricing, Financial Accounting, Finance, Marketing

• Option Pricing With Levy-Stable Process

  BNET - 2004-03-26

  Up until the early 1990's most of the underlying stochastic processes used in the financial literature were based on a combination of Brownian motion and Poisson processes. This paper shows how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. The paper...

  Tags: Pricing Strategy, University Of Oxford, Financial Accounting, Pricing, Finance, Marketing

• Trading Volume and Stochastic Volatility

  BNET - 2001-05-19

  This paper develops a subordinated stochastic process model for asset prices, where the directing process is identified as information. Motivated by empirical and theoretical work, the paper makes use of the under-used market statistic of transaction count as a suitable proxy for the information flow. An option pricing formula is...

  Tags: Volatility, University Of Oxford, Option Pricing Formula, Investment, Pricing, Finance, Marketing