A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A jump-diffusion model for option pricing
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Boundary crossing probability for Brownian motion
- Evaluating first-passage probabilities for spectrally one-sided Lévy processes
- Modeling growth stocks via birth-death processes
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Option Pricing With Markov-Modulated Dynamics
- Option pricing when underlying stock returns are discontinuous
- Russian and American put options under exponential phase-type Lévy models.
- Stochastic Volatility for Lévy Processes
- The Variance Gamma Process and Option Pricing
- The pricing of options and corporate liabilities
Cited in
(22)- Multi-regime foreign exchange rate model: calibration and pricing
- Robust pricing and hedging of double no-touch options
- Vanna-Volga methods applied to FX derivatives: from theory to market practice
- Barrier style contracts under Lévy processes once again
- Calibration and option pricing with stochastic volatility and double exponential jumps
- On the First Passage Time Under Regime-Switching with Jumps
- A multivariate stochastic volatility model with applications in the foreign exchange market
- Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
- Lookback option pricing for regime-switching jump diffusion models
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
- Method of paired contours and pricing barrier options and CDSs of long maturities
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications
- No-arbitrage bounds on two one-touch options
- Efficiently pricing double barrier derivatives in stochastic volatility models
- The bilateral Gamma motion: calibration and option pricing
- Efficient valuation of barrier options under equity and interest rate risks
- Valuation of continuously monitored double barrier options and related securities
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
- Empirical performance of models for barrier option valuation
- A forward equation for barrier options under the Brunick \& Shreve Markovian projection
- Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
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