Moments of integrated exponential Lévy processes and applications to Asian options pricing
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Publication:5039631
DOI10.1080/14697688.2022.2070533zbMATH Open1500.91132OpenAlexW4280533127WikidataQ115549844 ScholiaQ115549844MaRDI QIDQ5039631FDOQ5039631
Authors: Riccardo Brignone 
Publication date: 30 September 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2070533
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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Cited In (8)
- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
- Exact simulation of the Hull and White stochastic volatility model
- Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions
- Asian options and meromorphic Lévy processes
- On the distribution of the Hilbert transform of the local time of a symmetric Lévy process
- Another look at the integral of exponential Brownian motion and the pricing of Asian options
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
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