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
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
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
Uses Software
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