Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models

DOI10.1134/S0965542524701628MaRDI QIDQ6661387zbMATH OpenFDO

Authors A. S. Grechko, Oleg Kudryavtsev

Publication date 13 January 2025

Published in Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S0965542524701628

zbMATH Keywords

computational mathematical financeintegral convolution operatorsintegral transformsLévy processesmachine learningnumerical methodsWiener-Hopf factorization

Mathematics Subject Classification ID

Numerical analysis (65-XX) Computer science (68-XX)

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Cites work

• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A simple Wiener-Hopf factorization approach for pricing double-barrier options
• A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
• Applications of artificial neural networks to simulating Lévy processes
• Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
• Approximation by superpositions of a sigmoidal function
• Fast and accurate pricing of barrier options under Lévy processes
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
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• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 7631857 (Why is no real title available?)
• Introductory lectures on fluctuations of Lévy processes with applications.
• Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
• Machine learning in finance. From theory to practice
• Monte Carlo method for pricing lookback type options in Lévy models
• Pricing derivatives under Lévy models. Modern finite-difference and pseudo-differential operators approach
• Robust barrier option pricing by frame projection under exponential Lévy dynamics
• Valuation of continuously monitored double barrier options and related securities

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