Pricing step-up options using Laplace transform

DOI10.14317/JAMI.2020.439MaRDI QIDQ5027046zbMATH OpenFDO

Authors Jerim Kim, Eyunghee Kim, Changki Kim

Publication date 3 February 2022

Full work available at URL https://doi.org/10.14317/JAMI.2020.439

zbMATH Keywords

barrier optionLaplace transformmulti-barriersoption pricingregime switchingstep-up option

Mathematics Subject Classification ID

Laplace transform (44A10) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Pricing of power options under the regime-switching model
• scientific article; zbMATH DE number 6311401
• Step options.
• American type geometric step options
• Path-dependent option pricing under a two-sided jump-diffusion model

Cites work

• A barrier option of American type
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• Barrier option pricing: a hybrid method approach
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• Convergence of barrier option prices in the binomial model
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Multi‐asset barrier options and occupation time derivatives
• Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing double barrier options using Laplace transforms
• Pricing external barrier options in a regime-switching model
• Pricing Options With Curved Boundaries¹
• The Fourier-series method for inverting transforms of probability distributions
• The valuation of American barrier options using the decomposition technique
• Two extensions to barrier option valuation
• Valuation of continuously monitored double barrier options and related securities

Cited in

(3)

• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
• Variable purchase options
• scientific article; zbMATH DE number 7673130 (Why is no real title available?)

This page was built for publication: Pricing step-up options using Laplace transform

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5027046)