Analytic techniques for option pricing under a hyperexponential Lévy model (Q1639540): Difference between revisions

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+.05934
@@ Property / arXiv ID: 1705.05934 / rank @@
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+A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
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+APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
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+Approximating Lévy processes with completely monotone jumps
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+Russian and American put options under exponential phase-type Lévy models.
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+Pricing double-barrier options under a flexible jump diffusion model
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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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+Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+Option pricing when underlying stock returns are discontinuous
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+HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS
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+Meromorphic Lévy processes and their fluctuation identities
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+Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
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+A Special Case of the Filon Quadrature Formula
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+Pricing and Hedging in Exponential Lévy Models: Review of Recent Results
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+Financial Modelling with Jump Processes
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+Fluctuations of Lévy processes with applications. Introductory lectures
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