Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables

We report the participation level, we pricing a first generation's European call options on the Eurostoxx structured product, when returns' uncertainty is modeled by log-stable processes, we present the basic statistics of the index's returns, we estimate the α-estable parameters, and we compare the structured products pricing by the both log-stable and log-Gaussian models using inputs of the debt markets. We conclude that investors get higher returns than debt markets using both models and returns' differences depend of the participation level and the maturity.