Valuation of Exotic Options under Lévy Processes : A Pricing Kernel Approach

Title
Valuation of Exotic Options under Lévy Processes : A Pricing Kernel Approach
Author(s)
조승모
Keywords
Exotic Option; Lévy Process; Gerber-Shiu; Esscher Transform; Pricing Kernel
Issue Date
201105
Publisher
한양대학교 경제연구소
Citation
經濟硏究, v.32, no.1, pp.113 - 166
Abstract
In this paper, we show that Gerber and Shiu (1994)’s method of option pricing under Lévy processes using the Esscher transform can be extended to pricing exotic options such as compound options, chooser options, extendible options, and reset strike options. Here, rather than following the original approach by Gerber and Shiu (1994), we slightly modify the pricing method from the risk-neutral valuation to the pricing kernel approach for better intuition and easier mathematical derivation.
URI
http://hdl.handle.net/YU.REPOSITORY/25154
ISSN
1226-2153
Appears in Collections:
상경대학 > 경제금융학부 > Articles
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