{"paper":{"title":"L\\'{e}vy driven models and derivative pricing","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"stat.AP","authors_text":"Alexander Kushpel, Jeremy Levesley","submitted_at":"2013-06-17T08:07:09Z","abstract_excerpt":"We develop a general method for derivative pricing. This approach has its roots in Shannon's Information Theory. The notion of $\\lambda$-analyticity of L\\'{e}vy models is introduced on the basis of which new representations of the pricing integral are obtained. It is shown that popular in applications L\\'{e}vy models are $\\lambda$-analytic. We apply these results to derive a general algorithm for pricing of European call options."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1306.3762","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}