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

DOI10.1137/100788331MaRDI QIDQ3074986zbMATH OpenOpenAlexFDO

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

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)

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(11)

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

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