Barrier option under Lévy model: a PIDE and Mellin transform approach

DOI10.3390/MATH4010002zbMath1386.91135OpenAlexW3123821495MaRDI QIDQ272119

Diganta Mukherjee, Sudip Ratan Chandra

Publication date: 20 April 2016

Published in: Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/math4010002

zbMATH Keywords

simulationLévy processbarrier option pricingnumerical inverse Mellin transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Tempered stable process, first passage time, and path-dependent option pricing

Cites Work

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• Numerical Inversion of the Mellin Transform
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• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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