Fast and accurate pricing of barrier options under Lévy processes

DOI10.1007/S00780-009-0103-2zbMath1194.91179OpenAlexW2928881687MaRDI QIDQ964690

Oleg Kudryavtsev, Sergei Levendorskii

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0103-2

zbMATH Keywords

Lévy processesnumerical methodsWiener-Hopf factorizationbarrier options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Derivative securities (option pricing, hedging, etc.) (91G20) Convolution, factorization for one variable harmonic analysis (42A85)

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