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arXiv · 0904.3274

On continuity properties for option prices in exponential Lévy models

S. Cawston·L. Vostrikova
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Abstract

For a converging sequence of exponential Lévy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices when no such convergence holds. We then consider two special cases, first when the martingale measure is chosen by minimisation of entropy and then when it minimises Hellinger integrals.

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S. Cawston, L. Vostrikova. 2009-04-21. On continuity properties for option prices in exponential Lévy models. https://arxiv.org/abs/0904.3274

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