Convergence of price and sensitivities in Carr's randomization approximation globally and near barrier

DOI10.1137/100788331zbMATH Open1229.91316OpenAlexW2914711908MaRDI QIDQ3074986FDOQ3074986

Authors: Sergei Levendorskiĭ 

Publication date: 10 February 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100788331

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zbMATH Keywords

asymptoticsgreeksCGMY modelWiener-Hopf factorizationbarrier optionsvariance gamma processesLévy processes\(\beta\)-classCarr's randomizationfirst-touch digitalskobol processesnormal inverse Gaussian processes

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Special processes (60K99) Numerical methods for discrete and fast Fourier transforms (65T50)

Cited In (11)

• Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition
• Pricing discrete barrier options and credit default swaps under Lévy processes
• Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
• Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
• Method of paired contours and pricing barrier options and CDSs of long maturities
• Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks
• Pitfalls of the Fourier transform method in affine models, and remedies
• Efficient evaluation of double-barrier options
• Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
• A simple Wiener-Hopf factorization approach for pricing double-barrier options
• An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting

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