Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636): Difference between revisions

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scientific article

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English	Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options	scientific article

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scholarly article

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Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (English)

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Daniele Marazzina

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European Journal of Operational Research

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publication date

7 October 2016

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full work available at URL

http://eprints.lse.ac.uk/67564/

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zbMATH Keywords

path-dependent options

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Hilbert transform

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Lévy process

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Spitzer identity

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Wiener-Hopf factorization

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MaRDI profile type

MaRDI publication profile

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Numerical inversion of probability generating functions

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A Probabilistic Look at the Wiener--Hopf Equation

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Russian and American put options under exponential phase-type Lévy models.

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On a new approach to calculating expectations for option pricing

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Perpetual American Options Under Lévy Processes

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On first passage times of a hyper-exponential jump diffusion process

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Pricing double-barrier options under a flexible jump diffusion model

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A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

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Financial Modelling with Jump Processes

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The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options

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A fast calibrating volatility model for option pricing

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A general control variate method for option pricing under Lévy processes

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PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH

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Pricing Options in Jump-Diffusion Models: An Extrapolation Approach

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Computing exponential moments of the discrete maximum of a Lévy process and lookback options

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An exact analytical solution for discrete barrier options

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<i>Z</i>-Transform and preconditioning techniques for option pricing

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Analysis of quadrature methods for pricing discrete barrier options

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Valuing equity-linked death benefits in jump diffusion models

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Exact Sampling of Jump Diffusions

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THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING

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Fluctuation identities for lévy processes and splitting at the maximum

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Fourier space time-stepping for option pricing with Lévy models

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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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A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction

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Wiener-Hopf splitting of a 2 x 2 matrix

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A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary

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A Jump-Diffusion Model for Option Pricing

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Integral equations on a half-line with kernel depending upon the difference of the arguments

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Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes

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A Wiener-Hopf Monte Carlo simulation technique for Lévy processes

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Introductory lectures on fluctuations of Lévy processes with applications.

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A brief historical perspective of the Wiener-Hopf technique

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The optimal capital structure of the firm with stable Lévy assets returns

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Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

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A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

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Euler summation for fourier series and laplace transform inversion

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Factorization of spectra by discrete Fourier transforms (Corresp.)

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Evaluating first-passage probabilities for spectrally one-sided Lévy processes

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Pricing exotic derivatives exploiting structure

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Sequential analysis. Tests and confidence intervals

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A Combinatorial Lemma and Its Application to Probability Theory

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.EJOR.2015.11.027

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Sitelinks

Mathematics(1 entry)

mardi Publication:322636

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