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
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
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- scientific article; zbMATH DE number 1642358
Laplace transformfactorizationcomputational methodsmathematical financejump processesfirst-passage probabilitiesLévy models
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)
Cites Work
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- An Inversion Technique for the Laplace Transform
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- American options: the EPV pricing model
- Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
Cited In (7)
- Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model
- Monte Carlo method for pricing lookback type options in Lévy models
- A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options
- Forward-looking portfolio selection with multivariate non-Gaussian models
- Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes
- Applications of artificial neural networks to simulating Lévy processes
- PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
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