Exotic options under Lévy models: an overview

DOI10.1016/j.cam.2005.10.004zbMath1089.91029OpenAlexW2014004606MaRDI QIDQ818210

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

zbMATH Keywords

Lévy processesAmerican optionsEuropean optionsfinancial derivativesLévy market models

Mathematics Subject Classification ID

Related Items (18)

Quantifying the parameter dependent basin of the unsafe regime of asymmetric Lévy-noise-induced critical transitions ⋮ Activity signature functions for high-frequency data analysis ⋮ Low-Dimensional Partial Integro-differential Equations for High-Dimensional Asian Options ⋮ Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Modeling high-frequency financial data by pure jump processes ⋮ Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes ⋮ The first passage time problem for mixed-exponential jump processes with applications in insurance and finance ⋮ Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme ⋮ Computing exponential moments of the discrete maximum of a Lévy process and lookback options ⋮ A high order finite element scheme for pricing options under regime switching jump diffusion processes ⋮ Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy ⋮ Computation of powered option prices under a general model for underlying asset dynamics ⋮ Path integral Monte Carlo method for option pricing ⋮ Testing for pure-jump processes for high-frequency data

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