Robust willow tree method under Lévy processes

DOI10.1016/J.CAM.2022.114982MaRDI QIDQ6098950zbMATH OpenFDO

Authors

Publication date 19 June 2023

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

Full work available at URL https://doi.org/10.1016/J.CAM.2022.114982

zbMATH Keywords

characteristic functionLévy processoption pricingtrapezoidal formulawillow tree

Mathematics Subject Classification ID

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

Recommendations

• Willow tree method for European and American option pricing under variance Gamma model
• Efficient willow tree algorithm for credit valuation adjustment of stock options
• A new sampling strategy willow tree method with application to path-dependent option pricing
• Efficient willow tree method for Asian option pricing under Merton jump-diffusion model
• Efficient willow tree method for European-style and American-style moving average barrier options pricing

Cites work

• A general valuation framework for SABR and stochastic local volatility models
• A jump-diffusion model for option pricing
• A new sampling strategy willow tree method with application to path-dependent option pricing
• Finite-time dividend-ruin models
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Option pricing when underlying stock returns are discontinuous
• Option Pricing With V. G. Martingale Components¹
• Pricing options on realized variance
• Processes of normal inverse Gaussian type
• Risk-based capital for variable annuity under stochastic interest rate
• Stochastic Volatility for Lévy Processes
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• The Variance Gamma Process and Option Pricing

Cited in

(4)

• Efficient willow tree algorithm for credit valuation adjustment of stock options
• Willow tree method for European and American option pricing under variance Gamma model
• A new sampling strategy willow tree method with application to path-dependent option pricing
• The bilateral Gamma motion: calibration and option pricing

This page was built for publication: Robust willow tree method under Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6098950)