A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

DOI10.1080/14697680903413605zbMath1229.91300OpenAlexW1991070483MaRDI QIDQ3064014

Peter Carr, John Crosby

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

zbMATH Keywords

Lévy processesoption pricingbarrier optionsquantitative financepricing of derivative securitiescontinuous time financecredit modelscurrency derivatives

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (17)

A multivariate stochastic volatility model with applications in the foreign exchange market ⋮ Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options ⋮ METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES ⋮ On the First Passage Time Under Regime-Switching with Jumps ⋮ Lookback option pricing for regime-switching jump diffusion models ⋮ Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications ⋮ Robust pricing and hedging of double no-touch options ⋮ Efficiently pricing double barrier derivatives in stochastic volatility models ⋮ Barrier style contracts under Lévy processes once again ⋮ VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES ⋮ Empirical performance of models for barrier option valuation ⋮ DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION 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 ⋮ PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION ⋮ A forward equation for barrier options under the Brunick & Shreve Markovian projection ⋮ NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• Russian and American put options under exponential phase-type Lévy models.
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Boundary crossing probability for Brownian motion
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• Option Pricing With Markov-Modulated Dynamics
• Modeling growth stocks via birth-death processes
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous

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