Exotic options under Lévy models: an overview

DOI10.1016/j.cam.2005.10.004zbMath1089.91029OpenAlexW2014004606MaRDI QIDQ818210

Wim Schoutens

Publication date: 24 March 2006

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2005.10.004

zbMATH Keywords

Lévy processesAmerican optionsEuropean optionsfinancial derivativesLévy market models

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (18)

Quantifying the parameter dependent basin of the unsafe regime of asymmetric Lévy-noise-induced critical transitions ⋮ Activity signature functions for high-frequency data analysis ⋮ Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options ⋮ Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Modeling high-frequency financial data by pure jump processes ⋮ Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme ⋮ Computing exponential moments of the discrete maximum of a Lévy process and lookback options ⋮ A high order finite element scheme for pricing options under regime switching jump diffusion processes ⋮ Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy ⋮ Computation of powered option prices under a general model for underlying asset dynamics ⋮ Path integral Monte Carlo method for option pricing ⋮ Testing for pure-jump processes for high-frequency data

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