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Fast and accurate pricing of barrier options under Lévy processes

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Author Info
Oleg Kudryavtsev ()
Sergei Levendorskiǐ ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-009-0103-2
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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: 531-562
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Handle: RePEc:spr:finsto:v:13:y:2009:i:4:p:531-562

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Lévy processes; Barrier options; Wiener–Hopf factorization; Numerical methods; 60-08; 60J75; 47A68; 42A85; 91B28; G10; G12; G13; C63;

References listed on IDEAS
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  1. 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)
  2. Oleg Kudryavtsev & Sergei Levendorskiç, 2006. "Pricing Of First Touch Digitals Under Normal Inverse Gaussian Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 915-949. [Downloadable!] (restricted)
  3. Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(3), pages 597-626.
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This page was last updated on 2009-12-22.

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