A model is developed that can price path dependent options when the underlying process is
an exponential Levy process with closed form conditional characteristic function. The model …

This paper gives a tree‐based method for pricing American options in models where the
stock price follows a general exponential Lévy process. A multinomial model for …

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 …

In this paper, we assume that log returns can be modelled by a Levy process. We give
explicit formulae for option prices by means of the Fourier transform. We explain how to infer …

We present a general control variate method for simulating path dependent options under
Lévy processes. It is based on fast numerical inversion of the cumulative distribution …

This paper presents a Hilbert transform method for pricing Bermudan options in Lévy
process models. The corresponding optimal stopping problem can be solved using a …

Option values are well-known to be the integral of a discounted transition density times a
payoff function; this is just martingale pricing. It's usually done in'S-space', where S is the …

This sequel is designed as an introduction to Fourier transform option pricing for readers
who have zero previous knowledge of Fourier transform. First part of this sequel is devoted …

Fusai, Abrahams, and Sgarra (2006) employed the Wiener–Hopf technique to obtain an
exact analytic expression for discretely monitored barrier option prices as the solution to the …

We discuss a simple new approach to calculating expectations of a specific form used for the
pricing of derivative assets in financial mathematics. We show that in the 'vanilla case', the …