Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models

DOI10.1007/S40590-016-0104-ZzbMATH Open1351.60058OpenAlexW3121612903MaRDI QIDQ334773FDOQ334773

Authors Oleg Kudryavtsev 

Publication date 1 November 2016

Published in Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40590-016-0104-z

zbMATH Keywords

Laplace transformfactorizationcomputational methodsmathematical financejump processesfirst-passage probabilitiesLévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Convolution, factorization for one variable harmonic analysis (42A85) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68)

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Cited in

(9)

• Monte Carlo method for pricing lookback type options in Lévy models
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Applications of artificial neural networks to simulating Lévy processes
• Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks
• Double-barrier option pricing under the hyper-exponential jump diffusion model
• Laplace transform approach to option pricing for time-changed Brownian models
• PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
• Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
• A simple Wiener-Hopf factorization approach for pricing double-barrier options

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