Exotic options under Lévy models: an overview

DOI10.1016/J.CAM.2005.10.004MaRDI QIDQ818210zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

European optionsAmerican optionsfinancial derivativesLévy processesLévy market models

Mathematics Subject Classification ID

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

Recommendations

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• Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
• Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
• Pricing American currency options in an exponential Lévy model

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• A continuity correction for discrete barrier options
• A general version of the fundamental theorem of asset pricing
• An easy computable upper bound for the price of an arithmetic Asian option
• Approximations of small jumps of Lévy processes with a view towards simulation
• Barrier options and touch-and-out options under regular Lévy processes of exponential type
• Connecting discrete and continuous path-dependent options
• Equivalence of floating and fixed strike Asian and lookback options
• Estimating Security Price Derivatives Using Simulation
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Exotic option pricing and advanced Lévy models.
• FINANCIAL MODELING AND OPTION THEORY WITH THE TRUNCATED LEVY PROCESS
• Fast Numerical Solution of Parabolic Integrodifferential Equations with Applications in Finance
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• First passage times of a jump diffusion process
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• Optimal stopping and perpetual options for Lévy processes
• Option Pricing With V. G. Martingale Components¹
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
• Perpetual American Options Under Lévy Processes
• Pricing American currency options in an exponential Lévy model
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• Processes of Meixner type
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Cited in

(24)

• 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
• A comprehensive mathematical approach to exotic option pricing
• Quantifying the parameter dependent basin of the unsafe regime of asymmetric Lévy-noise-induced critical transitions
• Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
• 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
• Modeling high-frequency financial data by pure jump processes
• Application of homotopy analysis method to option pricing under Lévy processes

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