CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

DOI10.1111/j.1467-9965.2011.00486.xzbMath1282.91378arXiv0908.4028OpenAlexW3124879778MaRDI QIDQ4906512

Aleksandar Mijatović, Martijn R. Pistorius

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0908.4028

zbMATH Keywords

Lévy processescontinuous-time Markov chainCGMY modelvariance gamma processbarrier optionsnormal inverse Gaussian processSato processespricing algorithmslocal Lévy processeslocal volatility models with jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Numerical analysis or methods applied to Markov chains (65C40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• MATLAB expm

Cites Work

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