Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257874 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 2 [Article No.:] 36 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-14
Publisher: 
MDPI, Basel
Abstract: 
We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.
Subjects: 
stable distributions
Lévy process
option pricing
risk sensitivities
P&L explain
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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