A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes

DOI10.1080/14697680902896057zbMath1192.91177arXiv0812.3128MaRDI QIDQ3577151

Martijn R. Pistorius, Marc Jeannin

Publication date: 5 August 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.3128

zbMATH Keywords

martingales; American options; Lévy process; barrier options; American style derivative securities

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G20: Derivative securities (option pricing, hedging, etc.)

44A10: Laplace transform

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