Pricing European and Discretely Monitored Exotic Options under the Lévy Process Framework

In this article we consider both European and discretely monitored exotic options (Bermudan and discrete barrier) in a market where the underlying asset follows a geometric Lévy process. First, we briefly introduce this extended framework. Then, using the variance gamma model, we show how to price European options and demonstrate the application of the recursive … Continue reading Pricing European and Discretely Monitored Exotic Options under the Lévy Process Framework