Approximating Lévy processes with a view to option pricing
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Cites work
- A jump-diffusion model for option pricing
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Processes of normal inverse Gaussian type
- The pricing of options and corporate liabilities
- The Variance Gamma Process and Option Pricing
Cited in
(27)- Analytic techniques for option pricing under a hyperexponential Lévy model
- Options pricing with time changed Lévy processes under imprecise information
- Extracting market information from equity options with exponential Lévy processes
- Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework
- Asian options and meromorphic Lévy processes
- Dimension reduction for pricing options under multidimensional Lévy processes
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Approximating Lévy processes with completely monotone jumps
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- 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
- Diffusion approximation of Lévy processes with a view towards finance
- Method of paired contours and pricing barrier options and CDSs of long maturities
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- Pricing and hedging of lookback options in hyper-exponential jump diffusion models
- Parisian options with jumps: a maturity-excursion randomization approach
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models
- Double-barrier option pricing under the hyper-exponential jump diffusion model
- A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing
- Ultra-fast pricing barrier options and CDSs
- Using relative returns to accommodate fat-tailed innovations in processes and option pricing
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
- The \(\beta\)-Meixner model
- Identification of the local speed function in a Lévy model for option pricing
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
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