Barrier Options under Lévy Processes: a Short-Cut

by José Fajardo of Fundação 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 Lévy 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.

JEL Classification: C52, G10.

Keywords: Barrier Options, Lévy Processes, Implied volatility, Market Symmetry.

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