A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (Q3577151): Difference between revisions

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+Russian and American put options under exponential phase-type Lévy models.
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+Processes of normal inverse Gaussian type
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+Fluctuation theory in continuous time
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
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+Barrier options and touch-and-out options under regular Lévy processes of exponential type
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Q5624436
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+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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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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+Modeling growth stocks via birth-death processes
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+PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+Optimal stopping and perpetual options for Lévy processes
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+Evaluating first-passage probabilities for spectrally one-sided Lévy processes
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+On Distributions of Functionals Related to Boundary Problems for Processes with Independent Increments
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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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