Barrier style contracts under Lévy processes once again

dc.contributor.author	Fajardo, José
dc.date.accessioned	2018-10-25T18:24:12Z
dc.date.available	2018-10-25T18:24:12Z
dc.date.issued	2018
dc.identifier	https://www.scopus.com/inward/record.uri?eid=2-s2.0-85026521870&doi=10.1007%2fs10436-017-0303-2&partnerID=40&md5=8c1b2073e86fd8e8b843b051c3df7de8
dc.identifier.issn	1614-2446
dc.identifier.uri	http://hdl.handle.net/10438/25513
dc.description.abstract	In this paper we present new pricing formulas for some Barrier style contracts of European type when the underlying process is driven by an important class of Lévy processes, which includes CGMY model, generalized hyperbolic Model and Meixner Model, when no symmetry properties are assumed, complementing in this way previous findings in Fajardo (J Bank Financ 53:179–187, 2015). Also, we show how to implement our new formulas. © 2017, Springer-Verlag GmbH Germany.	eng
dc.language.iso	eng
dc.publisher	Springer Verlag
dc.relation.ispartofseries	Annals of Finance
dc.source	Scopus
dc.subject	Absence of symmetry	eng
dc.subject	Barrier contracts	eng
dc.subject	Lévy processes	eng
dc.subject	Skewness	eng
dc.title	Barrier style contracts under Lévy processes once again	eng
dc.type	Article (Journal/Review)	eng
dc.contributor.unidadefgv	Escolas::EBAPE	por
dc.subject.bibliodata	Contratos	por
dc.contributor.affiliation	FGV
dc.identifier.doi	10.1007/s10436-017-0303-2
dc.rights.accessRights	restrictedAccess	eng
dc.identifier.scopus	2-s2.0-85026521870