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arxiv: 1303.6340 · v3 · pith:XZF2R4WYnew · submitted 2013-03-25 · 💱 q-fin.PR · math.PR

Barrier Options under L\'evy Processes: a Simple Short-Cut

classification 💱 q-fin.PR math.PR
keywords barrierclassoptionsprocessespropertysimpleachieveapproximations
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In this paper we present a very simple way to price a class of barrier options when the underlying process is driven by a huge class of L\'evy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case of not satisfying that property some approximations can be obtained.

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