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

DOI10.1080/14697680903413605zbMATH Open1229.91300OpenAlexW1991070483MaRDI QIDQ3064014FDOQ3064014

Authors 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

option pricingbarrier optionsquantitative financepricing of derivative securitiescontinuous time financecredit modelsLévy processescurrency derivatives

Mathematics Subject Classification ID

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

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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

(20)

• Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
• Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation
• Barrier style contracts under Lévy processes once again
• Lookback option pricing for regime-switching jump diffusion models
• Method of paired contours and pricing barrier options and CDSs of long maturities
• Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
• Empirical performance of models for barrier option valuation
• 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
• Vanna-Volga methods applied to FX derivatives: from theory to market practice
• Valuation of continuously monitored double barrier options and related securities
• A forward equation for barrier options under the Brunick \& Shreve Markovian projection
• The bilateral Gamma motion: calibration and option pricing
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• Multi-regime foreign exchange rate model: calibration and pricing
• Efficiently pricing double barrier derivatives in stochastic volatility models
• A multivariate stochastic volatility model with applications in the foreign exchange market
• No-arbitrage bounds on two one-touch options
• Double barrier options in regime-switching hyper-exponential jump-diffusion models
• On the First Passage Time Under Regime-Switching with Jumps

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