Laplace transform approach to option pricing for time-changed Brownian models

DOI10.1080/03610918.2015.1035446MaRDI QIDQ5267902zbMATH OpenOpenAlexFDO

Authors Yu Xing, Xiao-Ping Yang

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

zbMATH Keywords

Fourier transformLaplace transformoption pricingtime-changed Brownian models

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• 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
• Analysis of Fourier transform valuation formulas and applications
• Complex logarithms in Heston-like models
• Financial Modelling with Jump Processes
• Mathematical methods for foreign exchange. A financial engineer's approach
• Processes of normal inverse Gaussian type
• The Variance Gamma Process and Option Pricing

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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