CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

DOI10.1111/j.1467-9965.2011.00486.xzbMath1282.91378arXiv0908.4028MaRDI QIDQ4906512

Aleksandar Mijatović, Martijn R. Pistorius

Publication date: 28 February 2013

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

Full work available at URL: https://arxiv.org/abs/0908.4028

zbMATH Keywords

Lévy processes; continuous-time Markov chain; CGMY model; variance gamma process; barrier options; normal inverse Gaussian process; Sato processes; pricing algorithms; local Lévy processes; local volatility models with jumps

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G60: Numerical methods (including Monte Carlo methods)

65C40: Numerical analysis or methods applied to Markov chains

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

Related Items

A General Valuation Framework for SABR and Stochastic Local Volatility Models, Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model, CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES, A Markov chain approximation scheme for option pricing under skew diffusions, Markov chain approximation of one-dimensional sticky diffusions, Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions, Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior, Computable Error Bounds of Laplace Inversion for Pricing Asian Options, PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION, Momentum and reversion in risk neutral martingale probabilities, American Option Valuation under Continuous-Time Markov Chains, Unnamed Item, Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients, A general approach for lookback option pricing under Markov models, Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation, A general approach for Parisian stopping times under Markov processes, A general method for analysis and valuation of drawdown risk, A general approximation method for optimal stopping and random delay, Phase-type representations of stochastic interest rates with applications to life insurance, Two price economies in continuous time, Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach, A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance, Pricing exotic options in a regime switching economy: a Fourier transform method, A general framework for time-changed Markov processes and applications, Timing portfolio strategies with exponential Lévy processes, A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps, Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes, Optimal non-uniform finite difference grids for the Black-Scholes equations, Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models, Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations, Pricing American drawdown options under Markov models, Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates, Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks, Maximum likelihood estimation of diffusions by continuous time Markov chain, Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation, Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation, Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk, A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation, Downside risk measurement in regime switching stochastic volatility, CTMC integral equation method for American options under stochastic local volatility models, First-passage times of regime switching models, Measure distorted arrival rate risks and their rewards, Pricing options based on trinomial Markov tree, Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps, A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions, Markov chain approximation and measure change for time-inhomogeneous stochastic processes, Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps, A General Framework for Pricing Asian Options Under Markov Processes

Uses Software

• MATLAB expm

Cites Work

• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Calibration and hedging under jump diffusion
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Processes of normal inverse Gaussian type
• Fast accurate binomial pricing
• PDE methods for pricing barrier options
• Lookback options and diffusion hitting times: a spectral expansion approach
• Hyperbolic distributions in finance
• Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
• Integro-differential equations for option prices in exponential Lévy models
• A Continuity Correction for Discrete Barrier Options
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• SELF-DECOMPOSABILITY AND OPTION PRICING
• A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Equivalent Black volatilities
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Financial Modelling with Jump Processes
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
• VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
• The Scaling and Squaring Method for the Matrix Exponential Revisited
• Spectral Expansions for Asian (Average Price) Options
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• Markov Processes, Brownian Motion, and Time Symmetry