Nearly exact option price simulation using characteristic functions
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Cites work
- A continuity correction for discrete barrier options
- A novel pricing method for European options based on Fourier-cosine series expansions
- A theory of the term structure of interest rates
- Brownian Excursions and Parisian Barrier Options
- Complex logarithms in Heston-like models
- Efficient, almost exact simulation of the Heston stochastic volatility model
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- Fourier space time-stepping for option pricing with Lévy models
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- scientific article; zbMATH DE number 3502569 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- scientific article; zbMATH DE number 3228674 (Why is no real title available?)
- Monte Carlo simulation and finance.
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Numerical Inversion of Laplace Transforms Using Laguerre Functions
- On coordinate transformation and grid stretching for sparse grid pricing of basket options
- On the pricing of forward starting options in Heston's model on stochastic volatility
- Performance regularity: a new class of executive compensation packages
- PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
- Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
- Remarks on algorithm 006: An adaptive algorithm for numerical integration over an N-dimensional rectangular region
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Saddlepoint methods for option pricing
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(12)- Semi-analytical prices for lookback and barrier options under the Heston model
- Conditional quantiles and tail dependence
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes
- Inverting analytic characteristic functions and financial applications
- Unbiased simulation of distributions with explicitly known integral transforms
- Models for option pricing based on empirical characteristic function of returns
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- Simulating Lévy processes from their characteristic functions and financial applications
- Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
- Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates
- Spline local basis methods for nonparametric density estimation
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