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Numerical methods for Lévy processes

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Author Info
N. Hilber ()
N. Reich
C. Schwab
C. Winter
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File URL: http://hdl.handle.net/10.1007/s00780-009-0100-5
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 13 (2009)
Issue (Month): 4 (September)
Pages: 471-500
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:finsto:v:13:y:2009:i:4:p:471-500

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Related research
Keywords: Multidimensional Lévy processes; Numerical methods; Asset pricing; 60J75; 65N06; 65N30; C63;

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  1. Pierre L’Ecuyer, 2009. "Quasi-Monte Carlo methods with applications in finance," Finance and Stochastics, Springer, vol. 13(3), pages 307-349, September. [Downloadable!] (restricted)
  2. Simona Sanfelici, 2004. "Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff," Decisions in Economics and Finance, Springer, vol. 27(2), pages 125-151, December. [Downloadable!] (restricted)
  3. Elisa Luciano & Wim Schoutens, 2006. "A Multivariate Jump-Driven Financial Asset Model," Carlo Alberto Notebooks 29, Collegio Carlo Alberto. [Downloadable!]
    Other versions:
  4. Nan Chen & Paul Glasserman, 2007. "Additive and multiplicative duals for American option pricing," Finance and Stochastics, Springer, vol. 11(2), pages 153-179, April. [Downloadable!] (restricted)
  5. Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
  6. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux, 2001. "Applications of Malliavin calculus to Monte-Carlo methods in finance. II," Finance and Stochastics, Springer, vol. 5(2), pages 201-236. [Downloadable!] (restricted)
  7. Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August. [Downloadable!] (restricted)
  8. Claudia Ribeiro & Nick Webber, 2006. "Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(4), pages 333-352, December. [Downloadable!] (restricted)
  9. Nina Boyarchenko & Sergei Levendorskiç, 2007. "On Errors And Bias Of Fourier Transform Methods In Quadratic Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 273-306. [Downloadable!] (restricted)
  10. Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June. [Downloadable!] (restricted)
  11. Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412. [Downloadable!] (restricted)
  12. Amin, Kaushik I, 1993. " Jump Diffusion Option Valuation in Discrete Time," Journal of Finance, American Finance Association, vol. 48(5), pages 1833-63, December. [Downloadable!] (restricted)
  13. Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-24, December. [Downloadable!] (restricted)
  14. Figlewski, Stephen & Gao, Bin, 1999. "The adaptive mesh model: a new approach to efficient option pricing," Journal of Financial Economics, Elsevier, vol. 53(3), pages 313-351, September. [Downloadable!] (restricted)
    Other versions:
  15. Rama Cont & Ekaterina Voltchkova, 2005. "Integro-differential equations for option prices in exponential Lévy models," Finance and Stochastics, Springer, vol. 9(3), pages 299-325, 07. [Downloadable!] (restricted)
  16. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  17. Topper, Jürgen, 2001. "Worst Case Pricing of Rainbow Options," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-217, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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