A simple Wiener-Hopf factorization approach for pricing double-barrier options
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Publication:5014528
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
Cites work
- scientific article; zbMATH DE number 1742902 (Why is no real title available?)
- scientific article; zbMATH DE number 6283558 (Why is no real title available?)
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- 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
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- Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
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- The binomial interpolated lattice method for step double barrier options
- Valuation of continuously monitored double barrier options and related securities
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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
- Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
- Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models
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