In this paper we propose a transform method to compute the prices and Greeks of barrier
options driven by a class of Lévy processes. We derive analytical expressions for the …

We analyze the specifications of option pricing models based on time‐changed Lévy
processes. We classify option pricing models based on the structure of the jump component …

This paper discusses extensions of the implied diffusion approach of Dupire (1994) to asset
processes with Poisson jumps. We show that this extension yields important model …

We present a fast and accurate FFT-based method of computing the prices and sensitivities
of barrier options and first-touch digital options on stocks whose log-price follows a Lévy …

Energy commodities, such as oil, gas, and electricity, lack the liquidity of equity markets,
have large costs associated with storage, exhibit high volatilities, and can have significant …

Pricing and hedging of European, American, barrier options and interest rate derivatives for
wide classes of Lévy driven models is considered in situations where qualitative and …

This paper introduces a novel method to price arithmetic Asian options in Levy-driven
models, with discrete and continuous averaging, by expanding on the approach of …

Arbitrage-free prices u of European contracts on risky assets whose log-returns are
modelled by Lévy processes satisfy a parabolic partial integro-differential equation (PIDE) …

The authors show how to compute prices of options knocked out when the underlying price
crosses smoothly-moving barriers. The method is to reduce the problem to fixed barriers, by …

Analytical tractability is one of the challenges faced by many alternative models that try to
generalize the Black-Scholes option pricing model to incorporate more empirical features …