Robust willow tree method under Lévy processes

DOI10.1016/j.cam.2022.114982zbMath1515.91157MaRDI QIDQ6098950

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Publication date: 19 June 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

option pricingcharacteristic functionLévy processtrapezoidal formulawillow tree

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Finite-time dividend-ruin models
• Processes of normal inverse Gaussian type
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• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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• A General Valuation Framework for SABR and Stochastic Local Volatility Models
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE
• A new sampling strategy willow tree method with application to path-dependent option pricing
• Option pricing when underlying stock returns are discontinuous
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION

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