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Plain Vanilla Options - Lévy Process
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Term Structure Fitting
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Plain Vanilla Options - Lévy Process
A pricing method for European option based on Fourier-Cosine series expansions
Tutorial File: Plain Vanilla Lévy Process.pdf
Model Selection & Parameters
Model
CGMY
NIG
Normal
VG
$$ \mu $$
$$ C $$
$$ G $$
$$ M $$
$$ Y $$
$$ \sigma $$
$$ \kappa $$
$$ \theta $$
$$ \sigma $$
$$ \sigma $$
$$ \kappa $$
$$ \theta $$
Contract Parameters
Spot Price
Time to Maturity (Years)
Interest Rate \((\%) \)
Dividend Yield \((\%) \)
Strike Price Range & Option Type
Minimum Strike
Maximum Strike
Option Type
Call
Put
Table of Volatility & Prices
Strike
Prices
Implied Volatility