The -Meixner model

DOI10.1016/J.CAM.2011.12.004MaRDI QIDQ765298zbMATH OpenOpenAlexFDO

Authors A. Ferreiro-Castilla, Wim Schoutens

Publication date 19 March 2012

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.2011.12.004

zbMATH Keywords

hitting probabilitybarrier options[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=exponential+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go exponential L��vy processes][https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=meromorphic+L%EF%BF%BD%EF%BF%BDvy+processes&go=Go meromorphic L��vy processes]

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5619427 (Why is no real title available?)
• scientific article; zbMATH DE number 936511 (Why is no real title available?)
• scientific article; zbMATH DE number 3329164 (Why is no real title available?)
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
• A novel pricing method for European options based on Fourier-cosine series expansions
• A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
• Approximating Lévy processes with a view to option pricing
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• Conditioned stable Lévy processes and the Lamperti representation
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Fast and accurate pricing of barrier options under Lévy processes
• First passage times of a jump diffusion process
• Meromorphic Lévy processes and their fluctuation identities
• On Lamperti stable processes
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
• Wiener-Hopf factorization for a family of Lévy processes related to theta functions

Cited in

(6)

• The \(\alpha \)-MEU model: a comment
• Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
• Tempered stable process, first passage time, and path-dependent option pricing
• Asian options and meromorphic Lévy processes
• The \(\beta \)-variance gamma model
• An Euler-Poisson scheme for Lévy driven stochastic differential equations

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