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

DOI10.1007/S40590-016-0104-ZMaRDI QIDQ334773zbMATHOpenAlexFDO

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

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