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Hardcover Exotic Option Pricing and Advanced Lévy Models Book
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ISBN: 0470016841

ISBN13: 9780470016848

Exotic Option Pricing and Advanced Lévy Models

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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...

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Format: Hardcover

Condition: New

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