Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach

DOI10.1155/2013/963625MaRDI QIDQ904596zbMATH OpenOpenAlexWikidataFDO

Authors Oleg Kudryavtsev

Publication date 13 January 2016

Published in The Scientific World Journal. Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2013/963625

Mathematics Subject Classification ID

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)

Recommendations

• Fast and accurate pricing of barrier options under Lévy processes
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A finite difference method for pricing European and American options under a geometric Lévy process
• A simple Wiener-Hopf factorization approach for pricing double-barrier options
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

Cites work

• Z-Transform and preconditioning techniques for option pricing
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A jump-diffusion model for option pricing
• American options: the EPV pricing model
• Double barrier options in regime-switching hyper-exponential jump-diffusion models
• Exotic options under Lévy models: an overview
• Fast and accurate pricing of barrier options under Lévy processes
• Feller processes of normal inverse Gaussian type
• Hyperbolic distributions in finance
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Option pricing when underlying stock returns are discontinuous
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
• Processes of normal inverse Gaussian type
• The Variance Gamma Process and Option Pricing
• Wavelet Galerkin pricing of American options on Lévy driven assets

Cited in

(12)

• Monte Carlo method for pricing lookback type options in Lévy models
• A Flexible Galerkin Scheme for Option Pricing in Lévy Models
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
• 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
• A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
• Double-barrier option pricing under the hyper-exponential jump diffusion model
• Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
• Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
• Fast and accurate pricing of barrier options under Lévy processes
• A simple Wiener-Hopf factorization approach for pricing double-barrier options

This page was built for publication: Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q904596)