A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options
From MaRDI portal
Publication:5014528
DOI10.1007/978-3-030-76829-4_15zbMath1479.91405MaRDI QIDQ5014528
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_15
60G51: Processes with independent increments; Lévy processes
91G20: Derivative securities (option pricing, hedging, etc.)
44A10: Laplace transform
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- American options: the EPV pricing model
- Convolution operators and factorization of almost periodic matrix functions
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
- Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
- Fast and accurate pricing of barrier options under Lévy processes
- Pricing exotic options in a regime switching economy: a Fourier transform method
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- Hilbert transform, spectral filters and option pricing
- Maturity randomization for stochastic control problems
- Pricing Derivatives Under Lévy Models
- A Unified Framework for Numerically Inverting Laplace Transforms
- THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier
- METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
- Fourier space time-stepping for option pricing with Lévy models
- Financial Modelling with Jump Processes
- VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
- Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes
- Randomization and the American Put
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
