A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014): Difference between revisions

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+https://doi.org/10.1080/14697680903413605
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+W1991070483
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+Russian and American put options under exponential phase-type Lévy models.
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+The Pricing of Options and Corporate Liabilities
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+Stochastic Volatility for Lévy Processes
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+On perpetual American put valuation and first-passage in a regime-switching model with jumps
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+Option Pricing With Markov-Modulated Dynamics
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+A Jump-Diffusion Model for Option Pricing
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+Modeling growth stocks via birth-death processes
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+The Variance Gamma Process and Option Pricing
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+Option pricing when underlying stock returns are discontinuous
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+Boundary crossing probability for Brownian motion
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+Evaluating first-passage probabilities for spectrally one-sided Lévy processes
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+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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