Numerical methods for Lévy processes
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This paper focuses on the use and limitations of numerical methods in multidimensional Lévy models for asset pricing. At first, the basic ideas and mathematical background of the most important numerical pricing techniques are described, and some of their recent developments are illustrated. Then, a qualitative comparison of the described methods is presented and their advantages and shortcomings are studied. The pricing of European and American options on \(d\geq 1\) assets with finite horizon and Lipschitz-continuous payoff are considered within the framework of these geometric Lévy models.
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