Fourier space time-stepping for option pricing with Lévy models
KR Jackson, S Jaimungal, V Surkov - Journal of Computational …, 2008 - papers.ssrn.com
Jump-diffusion and Levy models have been widely used to partially alleviate some of the
biases inherent in the classical Black-Scholes-Merton model. Unfortunately, the resulting …
biases inherent in the classical Black-Scholes-Merton model. Unfortunately, the resulting …
Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
We construct efficient and accurate numerical algorithms for pricing discretely monitored
barrier and Bermudan style options under time-changed Lévy processes by applying the fast …
barrier and Bermudan style options under time-changed Lévy processes by applying the fast …
Pricing Bermudan options in Lévy process models
L Feng, X Lin - SIAM Journal on Financial Mathematics, 2013 - SIAM
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 …
process models. The corresponding optimal stopping problem can be solved using a …
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Utilizing frame duality and a FFT-based implementation of density projection we develop a
novel and efficient transform method to price Asian options for very general asset dynamics …
novel and efficient transform method to price Asian options for very general asset dynamics …
A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes
R Lord, F Fang, F Bervoets, CW Oosterlee - SIAM Journal on Scientific …, 2008 - SIAM
A fast and accurate method for pricing early exercise and certain exotic options in
computational finance is presented. The method is based on a quadrature technique and …
computational finance is presented. The method is based on a quadrature technique and …
Path dependant option pricing under Lévy processes
C O'Sullivan - Available at SSRN 673424, 2005 - papers.ssrn.com
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 …
an exponential Levy process with closed form conditional characteristic function. The model …
[PDF][PDF] Jump-diffusion models: a practitioner's guide
P Tankov, E Voltchkova - Banque et Marchés, 2009 - academia.edu
The goal of this paper is to show that the jump-diffusion models are an essential and easy-to-
learn tool for option pricing and risk management, and that they provide an adequate …
learn tool for option pricing and risk management, and that they provide an adequate …
A simple option formula for general jump-diffusion and other exponential Lévy processes
AL Lewis - Available at SSRN 282110, 2001 - papers.ssrn.com
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 …
payoff function; this is just martingale pricing. It's usually done in'S-space', where S is the …
Pricing options in jump-diffusion models: an extrapolation approach
L Feng, V Linetsky - Operations Research, 2008 - pubsonline.informs.org
We propose a new computational method for the valuation of options in jump-diffusion
models. The option value function for European and barrier options satisfies a partial …
models. The option value function for European and barrier options satisfies a partial …
American and exotic option pricing with jump diffusions and other Levy processes
J Lars Kirkby - Journal of Computational Finance, 2018 - papers.ssrn.com
In general, no analytical formulas exist for pricing discretely monitored exotic options, even
when a geometric Brownian motion governs the risk-neutral underlying. While specialized …
when a geometric Brownian motion governs the risk-neutral underlying. While specialized …