Lookback option pricing using the Fourier transform B-spline method
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Cites work
- A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- A general version of the fundamental theorem of asset pricing
- A jump-diffusion model for option pricing
- A novel pricing method for European options based on Fourier-cosine series expansions
- Analysis of Fourier transform valuation formulas and applications
- Bilateral gamma distributions and processes in financial mathematics
- Binomial valuation of lookback options
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Connecting discrete and continuous path-dependent options
- Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
- Double-exponential fast Gauss transform algorithms for pricing discrete lookback options
- Fourier inversion formulas in option pricing and insurance
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Lévy processes induced by Dirichlet (B-)splines: modeling multivariate asset price dynamics
- Lookback options and diffusion hitting times: a spectral expansion approach
- More efficient computation of the complex error function
- On a new approach to calculating expectations for option pricing
- On the duality principle in option pricing: semimartingale setting
- Option pricing when underlying stock returns are discontinuous
- Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
- Quadratic spline interpolation
- The optimal recovery of smooth functions
- The pricing of options and corporate liabilities
- The Variance Gamma Process and Option Pricing
- THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Valuing Asian options using the finite element method and duality techniques
Cited in
(11)- Lookback options and diffusion hitting times: a spectral expansion approach
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- Double-exponential fast Gauss transform algorithms for pricing discrete lookback options
- Lookback option prices under a spectrally negative tempered-stable model
- Fourier transform of lookback option price
- On a new approach to calculating expectations for option pricing
- Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
- A general approach for lookback option pricing under Markov models
- Efficient evaluation of double-barrier options
- Efficient inverse Z-transform and pricing barrier and lookback options with discrete monitoring
- Efficient evaluation of expectations of functions of a Lévy process and its extremum
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