Early exercise boundary and option prices in Lévy driven models
From MaRDI portal
Publication:4610262
DOI10.1080/14697680400023295zbMATH Open1405.91634OpenAlexW2144067668MaRDI QIDQ4610262FDOQ4610262
Authors: Sergei Levendorskiĭ 
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680400023295
Recommendations
- Option pricing under some Lévy-like stochastic processes
- Option pricing in an exponential mixedts Lévy process
- Option pricing in some non-Lévy jump models
- scientific article; zbMATH DE number 1642338
- Integro-differential equations for option prices in exponential Lévy models
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- On continuity properties for option prices in exponential Lévy models
- On the Pricing of American Options in Exponential Lévy Markets
- Bounds on option prices in point process diffusion models
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Alternative models for stock price dynamics.
- Processes of normal inverse Gaussian type
- Hyperbolic distributions in finance
- A general version of the fundamental theorem of asset pricing
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Some recent developments in stochastic volatility modelling
- Title not available (Why is that?)
- The Variance Gamma Process and Option Pricing
- Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
- Consistency conditions for affine term structure models.
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- Empirical option pricing: A retrospection
- Feller processes of normal inverse Gaussian type
- Title not available (Why is that?)
- Perpetual American Options Under Lévy Processes
- Randomization and the American put
- Optimal stopping and perpetual options for Lévy processes
- CRITICAL STOCK PRICE NEAR EXPIRATION
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Title not available (Why is that?)
- Pricing of perpetual Bermudan options
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
- Efficient evaluation of double-barrier options
- The critical price for the American put in an exponential Lévy model
- Exercise boundary of the American put near maturity in an exponential Lévy model
- American options in the Heston model with stochastic interest rate and its generalizations
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- 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
- Title not available (Why is that?)
This page was built for publication: Early exercise boundary and option prices in Lévy driven models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4610262)
