Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Exotic options in general exponential LÚvy models

Auteur(s):

Code(s) de Classification MSC:

RÚsumÚ: In this paper, we use probabilistic methods of excursion theory for LÚvy processes in order to value some exotic options in general exponential LÚvy models.

Mots ClÚs: LÚvy processes ; exponential LÚvy model ; barrier option ; lookback option ; American option ; Russian option

Date: 2003-10-06

Prépublication numéro: PMA-850