{"paper":{"title":"Regularization and analytic option pricing under $\\alpha$-stable distribution of arbitrary asymmetry","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Cyril Coste, Hagen Kleinert, Jan Korbel, Jean-Philippe Aguilar","submitted_at":"2016-11-14T10:22:32Z","abstract_excerpt":"We consider a non-Gaussian option pricing model, into which the underlying log-price is assumed to be driven by an $\\alpha$-stable distribution. We remove the a priori divergence of the model by introducing a Mellin regularization for the L\\'evy propagator. Using distributional and $\\mathbb{C}^n$ tools, we derive an analytic closed formula for the option price, valid for any stability $\\alpha\\in]1,2]$ and any asymmetry. This formula is very efficient and recovers previous cases (Black-Scholes, Carr-Wu); we calibrate the formula on market datas, make numerical tests, and discuss its many intere"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1611.04320","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}