Exotic options under Lévy models: an overview

DOI10.1016/J.CAM.2005.10.004zbMATH Open1089.91029OpenAlexW2014004606MaRDI QIDQ818210FDOQ818210

Authors: Wim Schoutens 

Publication date: 24 March 2006

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.2005.10.004

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zbMATH Keywords

European optionsAmerican optionsfinancial derivativesLévy processesLévy market models

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

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Cited In (24)

• A comprehensive mathematical approach to exotic option pricing
• Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
• Quantifying the parameter dependent basin of the unsafe regime of asymmetric Lévy-noise-induced critical transitions
• Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
• Testing for pure-jump processes for high-frequency data
• Dimension reduction for pricing options under multidimensional Lévy processes
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
• A Monte Carlo algorithm for the extrema of tempered stable processes
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options
• Exotic option pricing and advanced Lévy models.
• Exotic put options at the diffusion bond market
• Low-dimensional partial integro-differential equations for high-dimensional Asian options
• Computation of powered option prices under a general model for underlying asset dynamics
• Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
• Path integral Monte Carlo method for option pricing
• Activity signature functions for high-frequency data analysis
• A high order finite element scheme for pricing options under regime switching jump diffusion processes
• Application of homotopy analysis method to option pricing under Lévy processes
• Modeling high-frequency financial data by pure jump processes
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY

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