Exotic Option Pricing and Advanced Lévy Models

by Wim Schoutens, Paul Wilmott, Andreas Kyprianou

Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a L vy process. Working with L vy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on L vy processes has led...

• Format: Hardcover
• Language: English
• ISBN: 0470016841
• ISBN13: 9780470016848
• Release Date: October 2005
• Publisher: Wiley
• Length: 344 Pages
• Weight: 1.80 lbs.
• Dimensions: 1.0" x 7.0" x 9.7"