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Option Pricing with Levy-Stable Processes [PDF]

, 2004
In this paper we show how to calculate European-style option prices when the log-stock and stock returns processes follow a symmetric Levy-Stable process. We extend our results to price European-style options when the log-stock process follows a skewed Levy-Stable process.
Alvaro Cartea, Sam Howison
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On the Hausdorff dimension of the inverse image of a compact set under a levy process

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The truncated Levy-flight process: Application to the random spin phase change in non-linear magnetic fields

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