Barrier Options under LÚvy Processes: a Short-Cut
by JosÚ Fajardo of FundašŃo Getulio Vargas (FGV)
May 7, 2013
Abstract: In this paper we present a simple way to price a class of barrier options when the underlying process is driven by a huge class of LÚvy processes. To achieve our goal we assume that our market satisfies a symmetry property. In case of not satisfying that property some approximations and relationships can be obtained.
Keywords: Barrier Options, LÚvy Processes, Implied volatility, Market Symmetry.