Laplace transform approach to option pricing for time-changed Brownian models
DOI10.1080/03610918.2015.1035446zbMATH Open1366.91163OpenAlexW2551292741MaRDI QIDQ5267902FDOQ5267902
Publication date: 13 June 2017
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2015.1035446
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for trigonometric approximation and interpolation (65T40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- Financial Modelling with Jump Processes
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- Processes of normal inverse Gaussian type
- Title not available (Why is that?)
- The Variance Gamma Process and Option Pricing
- Mathematical methods for foreign exchange. A financial engineer's approach
- COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Analysis of Fourier Transform Valuation Formulas and Applications
Cited In (6)
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL
- An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
- Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes
- Time changes, Laplace transforms and path-dependent options
- Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
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