Abstracts

Barrier Options Under Lévy Processes: An Alternative Short-Cut
José Fajardo (FGV, Brazil)

Tuesday June 3, 11:30-12:00 | session 1.4 | Credit | room K

In this paper we present new pricing formulas for a barrier options of European type when the underlying process is driven by an important class of Lévy processes, that includes CGMY model, Generalized Hyperbolic Model, Mexiner Model, among others. To achieve our goal we first assume that a symmetry property, equivalent to put-call symmetry, holds and then we analyze the most relevant asymmetric case.