Barrier style contracts under Lévy processes: An alternative approach

In this paper we present new pricing formulas for some single barrier style contracts of the European type when the underlying process is driven by an important class of Lévy processes, which includes the CGMY model, generalized hyperbolic model and Meixner model, frequently used in the literature. To achieve this goal we first assume that a symmetry property holds, i.e., we assume that under a change of numéraire the risk neutral distribution does not change, and then we analyze the most realistic asymmetric case.