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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …

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 …