Beyond Black-Scholes: semimartingales and Lévy processes for option pricing
Structured products research; Commerzbank Securities
60 Gracechurch Street, London, UK
Corresponding author: a email@example.com
Published online: 15 April 2001
We consider the problem of option pricing when the underlying asset follows a general semimartingale process. After reviewing the foundations of arbitrage pricing theory for semimartingales and the link with Lévy processes, we introduce a general method to price options in this framework based on Fourier and Wavelet analysis.
PACS: 02.50.Ey – Stochastic processes / 89.65.Gh – Economics, business, and financial markets / 02.60.Gf – Algorithms for functional approximation
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2001