PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
From MaRDI portal
Publication:3521283
Recommendations
- Pricing discrete barrier options and credit default swaps under Lévy processes
- Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
- Pricing Bermudan options in Lévy process models
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Fast and accurate pricing of barrier options under Lévy processes
Cites work
- A continuity correction for discrete barrier options
- A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
- A fast algorithm for computing integrals in function spaces: Financial applications
- A Fast Method for the Numerical Evaluation of Continuous Fourier and Laplace Transforms
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- Application of the fast Gauss transform to option pricing
- Approximations via Whittaker's cardinal function
- First passage times of a jump diffusion process
- scientific article; zbMATH DE number 435359 (Why is no real title available?)
- scientific article; zbMATH DE number 2133821 (Why is no real title available?)
- scientific article; zbMATH DE number 5359727 (Why is no real title available?)
- scientific article; zbMATH DE number 53687 (Why is no real title available?)
- scientific article; zbMATH DE number 3483022 (Why is no real title available?)
- scientific article; zbMATH DE number 2042813 (Why is no real title available?)
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- Lévy Processes and Stochastic Calculus
- Numerical Methods Based on Whittaker Cardinal, or Sinc Functions
- Option pricing when underlying stock returns are discontinuous
- Option Pricing With V. G. Martingale Components1
- Processes of normal inverse Gaussian type
- The Evaluation of Integrals of the Form � +∞ -∞ f(t)exp(- t 2 ) dt: Application to Logistic-Normal Models
- The Fractional Fourier Transform and Applications
- The Variance Gamma Process and Option Pricing
- Whittaker's Cardinal Function in Retrospect
Cited in
(81)- Pricing double barrier options under a volatility regime-switching model with psychological barriers
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Chebyshev interpolation for parametric option pricing
- Timing portfolio strategies with exponential Lévy processes
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- An efficient algorithm for Bermudan barrier option pricing
- Integrated structural approach to credit value adjustment
- Conformal accelerations method and efficient evaluation of stable distributions
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Pricing American drawdown options under Markov models
- The value of power-related options under spectrally negative Lévy processes
- A simple and efficient numerical method for pricing discretely monitored early-exercise options
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- A general control variate method for Lévy models in finance
- A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- Application of homotopy analysis method to option pricing under Lévy processes
- Hilbert transform, spectral filters and option pricing
- Pricing and exercising American options: an asymptotic expansion approach
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
- Option pricing with Legendre polynomials
- An iterative splitting method for pricing European options under the Heston model
- A Fourier transform method for solving backward stochastic differential equations
- Circulant preconditioning technique for barrier options pricing under fractional diffusion models
- An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions
- Pricing Bermudan options in Lévy process models
- Z-Transform and preconditioning techniques for option pricing
- Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
- Pricing credit default swaps with bilateral value adjustments
- A comprehensive mathematical approach to exotic option pricing
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- An efficient transform method for Asian option pricing
- Unbiased simulation of distributions with explicitly known integral transforms
- Additive subordination and its applications in finance
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
- Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
- On the monitoring error of the supremum of a normal jump diffusion process
- A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering
- Method of paired contours and pricing barrier options and CDSs of long maturities
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
- Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
- Pitfalls of the Fourier transform method in affine models, and remedies
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
- Efficient pricing and reliable calibration in the Heston model
- Valuation of continuously monitored double barrier options and related securities
- Error bounds for small jumps of Lévy processes
- Discrete-time quadratic hedging of barrier options in exponential Lévy model
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Computable Error Bounds of Laplace Inversion for Pricing Asian Options
- Pricing methods for -quantile and perpetual early exercise options based on Spitzer identities
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- Counterparty credit risk in a clearing network
- Analytical path-integral pricing of deterministic moving-barrier options under non-Gaussian distributions
- Pricing discrete barrier options and credit default swaps under Lévy processes
- A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
- Ultra-fast pricing barrier options and CDSs
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
- Option pricing in some non-Lévy jump models
- An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
- Simulating risk measures via asymptotic expansions for relative errors
- A transform-based method for pricing Asian options under general two-dimensional models
- Closed-form option pricing for exponential Lévy models: a residue approach
- Efficient evaluation of double-barrier options
- The bilateral Gamma motion: calibration and option pricing
- Efficient inverse Z-transform and pricing barrier and lookback options with discrete monitoring
- Long-range dependence and asset return anomaly
- Counting jumps: does the counting process count?
- Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
- A new real option methodology for the quality-by-design pharmaceutical research and development
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
This page was built for publication: PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3521283)
