Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
DOI10.1155/2013/963625zbMATH Open1328.91285OpenAlexW2064406766WikidataQ51116572 ScholiaQ51116572MaRDI QIDQ904596FDOQ904596
Authors: Oleg Kudryavtsev 
Publication date: 13 January 2016
Published in: The Scientific World Journal. Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/963625
Recommendations
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- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- A jump-diffusion model for option pricing
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Processes of normal inverse Gaussian type
- Hyperbolic distributions in finance
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
- Fast and accurate pricing of barrier options under Lévy processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- Z-Transform and preconditioning techniques for option pricing
- Feller processes of normal inverse Gaussian type
- Wavelet Galerkin pricing of American options on Lévy driven assets
- American options: the EPV pricing model
- Exotic options under Lévy models: an overview
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
Cited In (12)
- A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- Monte Carlo method for pricing lookback type options in Lévy models
- Fast and accurate pricing of barrier options under Lévy processes
- A Flexible Galerkin Scheme for Option Pricing in Lévy Models
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Double-barrier option pricing under the hyper-exponential jump diffusion model
- A finite difference method for pricing European and American options under a geometric Lévy process
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
- A simple Wiener-Hopf factorization approach for pricing double-barrier options
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
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