Early exercise boundary and option prices in Lévy driven models
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Publication:4610262
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Cites work
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Cited in
(15)- A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
- Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities
- Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- The critical price for the American put in an exponential Lévy model
- Efficient evaluation of double-barrier options
- Exercise boundary of the American put near maturity in an exponential Lévy model
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- American options in the Heston model with stochastic interest rate and its generalizations
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- A radial basis function scheme for option pricing in exponential Lévy models
- Pricing and exercising American options: an asymptotic expansion approach
- Activity signature functions for high-frequency data analysis
- scientific article; zbMATH DE number 1642338 (Why is no real title available?)
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