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A method for generating n random values, sampled from a Levy alpha stable distribution. It is useful for Levy adjusted random walks and financial risk modelling.

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LevyAlphaStableDistribution

We implement a method for generating n random values, sampled from a Levy alpha stable distribution. It is useful for Levy adjusted random walks and financial risk modelling. As alpha tends to 2 and n tends to 0, returns become normally distributed, so Monte Carlo call option pricing approaches the Black-Scholes formulation (see pricing.c). For smaller alphas and longer time periods, the Levy alpha model produces an undefined call premium. For accurate illustration of this phenomenon, iterations should exceed 2 million.

About

A method for generating n random values, sampled from a Levy alpha stable distribution. It is useful for Levy adjusted random walks and financial risk modelling.

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