A simple Wiener-Hopf factorization approach for pricing double-barrier options
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Publication:5014528
DOI10.1007/978-3-030-76829-4_15zbMATH Open1479.91405OpenAlexW3196726890MaRDI QIDQ5014528FDOQ5014528
Authors: Oleg Kudryavtsev 
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
Recommendations
- Valuation of continuously monitored double barrier options and related securities
- Fast and accurate pricing of barrier options under Lévy processes
- Double barrier options under Lévy processes
- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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- Title not available (Why is that?)
- Title not available (Why is that?)
- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
- Fast and accurate pricing of barrier options under Lévy processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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- Valuation of continuously monitored double barrier options and related securities
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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Cited In (8)
- A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
- Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
- Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options
- Fast and accurate pricing of barrier options under Lévy processes
- Double barrier options under Lévy processes
- Valuation of continuously monitored double barrier options and related securities
- Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models
- Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
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