Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes
From MaRDI portal
Publication:4682477
DOI10.1080/1350486X.2014.960529zbMath1396.91769OpenAlexW3122214056MaRDI QIDQ4682477
Publication date: 18 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2014.960529
Fourier transformtime-changed Lévy processpath-dependent optionintertemporal joint distributionmultivariate characteristic function
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
A general framework for time-changed Markov processes and applications ⋮ A dynamic equilibrium model for U-shaped pricing kernels ⋮ Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes ⋮ A general control variate method for Lévy models in finance ⋮ Pricing average options under time-changed Lévy processes ⋮ RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES ⋮ GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS
Cites Work
- Unnamed Item
- Processes of normal inverse Gaussian type
- Variance swaps on time-changed Lévy processes
- On Asian option pricing for NIG Lévy processes
- Pricing discrete barrier options under stochastic volatility
- On the pricing of forward starting options in Heston's model on stochastic volatility
- A Theory of the Term Structure of Interest Rates
- Variance-Optimal Hedging for Time-Changed Lévy Processes
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- Efficient Options Pricing Using the Fast Fourier Transform
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Nonparametric estimation of time-changed Lévy models under high-frequency data
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Option Pricing With V. G. Martingale Components1
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Stochastic Volatility for Lévy Processes
- The Variance Gamma Process and Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
This page was built for publication: Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes