Double-barrier option pricing under the hyper-exponential jump diffusion model

DOI10.1007/978-3-030-76829-4_10MaRDI QIDQ5014522zbMATH OpenOpenAlexFDO

Authors O. A. Mendez-Lara, S. M. Grudsky

Publication date 8 December 2021

Published in Operator Theory and Harmonic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-76829-4_10

zbMATH Keywords

Toeplitz operatorsbarrier optionsWiener-Hopf methodLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

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• A jump-diffusion model for option pricing
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Pricing double barrier options using Laplace transforms
• Pricing general barrier options: a numerical approach using sharp large deviations
• Robust barrier option pricing by frame projection under exponential Lévy dynamics

Cited in

(9)

• Barrier option pricing under the 2-hypergeometric stochastic volatility model
• Pricing and hedging barrier options in a hyper-exponential additive model
• A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
• Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
• Pricing double-barrier options under a flexible jump diffusion model
• Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
• Double barrier options under Lévy processes
• Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
• Double barrier options in regime-switching hyper-exponential jump-diffusion models

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