A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
DOI10.1080/14697680903413605zbMATH Open1229.91300OpenAlexW1991070483MaRDI QIDQ3064014FDOQ3064014
Publication date: 20 December 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903413605
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option pricingbarrier optionsquantitative financepricing of derivative securitiescontinuous time financecredit modelsLévy processescurrency derivatives
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- The pricing of options and corporate liabilities
- A Jump-Diffusion Model for Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Stochastic Volatility for Lévy Processes
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
- Boundary crossing probability for Brownian motion
- Russian and American put options under exponential phase-type Lévy models.
- Evaluating first-passage probabilities for spectrally one-sided Lévy processes
- Modeling growth stocks via birth-death processes
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Option Pricing With Markov-Modulated Dynamics
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
Cited In (19)
- DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
- Robust pricing and hedging of double no-touch options
- NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS
- Vanna-Volga methods applied to FX derivatives: from theory to market practice
- Barrier style contracts under Lévy processes once again
- On the First Passage Time Under Regime-Switching with Jumps
- VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
- A multivariate stochastic volatility model with applications in the foreign exchange market
- Lookback option pricing for regime-switching jump diffusion models
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- A forward equation for barrier options under the Brunick & Shreve Markovian projection
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
- PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION
- The bilateral Gamma motion: calibration and option pricing
- Efficiently pricing double barrier derivatives in stochastic volatility models
- PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER
- METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS
- Empirical performance of models for barrier option valuation
- METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
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