On a new approach to calculating expectations for option pricing

DOI10.1239/jap/1037816027zbMath1016.60053OpenAlexW2036835272MaRDI QIDQ4804742

Konstantin A. Borovkov, Alexander Novikov

Publication date: 27 July 2003

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1037816027

zbMATH Keywords

option pricingchange of measurebarrier optionmoment generating functions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (17)

Exotic options under Lévy models: an overview ⋮ Fourier inversion formulas in option pricing and insurance ⋮ Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options ⋮ On the First Passage Time Under Regime-Switching with Jumps ⋮ Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance ⋮ Discrete hedging in the mean/variance model for European call options ⋮ Pricing of Asian-Type and Basket Options via Bounds ⋮ BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM ⋮ BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS ⋮ Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities ⋮ Pricing financial claims contingent upon an underlying asset monitored at discrete times ⋮ Computing exponential moments of the discrete maximum of a Lévy process and lookback options ⋮ Equivalence of floating and fixed strike Asian and lookback options ⋮ Analysis of Fourier Transform Valuation Formulas and Applications ⋮ Unnamed Item ⋮ Lookback option pricing using the Fourier transform B-spline method ⋮ Valuation of Discrete Dynamic Fund Protection Under Lévy Processes

This page was built for publication: On a new approach to calculating expectations for option pricing