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Integro-differential equations for option prices in exponential Lévy models

Citations

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Cited by:

  1. Kathrin Glau, 2015. "Feynman-Kac formula for L\'evy processes with discontinuous killing rate," Papers 1502.07531, arXiv.org, revised Nov 2015.
  2. Kyriakos Georgiou & Athanasios N. Yannacopoulos, 2023. "Probability of Default modelling with L\'evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9," Papers 2309.12384, arXiv.org.
  3. Frank Bosserhoff & Mitja Stadje, 2019. "Robustness of Delta Hedging in a Jump-Diffusion Model," Papers 1910.08946, arXiv.org, revised Apr 2022.
  4. Aziz Issaka & Indranil SenGupta, 2017. "Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index," Annals of Finance, Springer, vol. 13(4), pages 401-434, November.
  5. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
  6. Lukas Gonon & Christoph Schwab, 2021. "Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models," Finance and Stochastics, Springer, vol. 25(4), pages 615-657, October.
  7. Nemat Safarov & Colin Atkinson, 2017. "Natural Gas-Fired Power Plants Valuation And Optimization Under Lévy Copulas And Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-38, February.
  8. Daniel Sevcovic & Cyril Izuchukwu Udeani, 2021. "Multidimensional linear and nonlinear partial integro-differential equation in Bessel potential spaces with applications in option pricing," Papers 2106.10498, arXiv.org.
  9. Jacob Söhl & Mathias Trabs, 2012. "Option calibration of exponential Lévy models: Implementation and empirical results," SFB 649 Discussion Papers SFB649DP2012-017, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. Federico De Olivera & José Fajardo & Ernesto Mordecki, 2018. "Skewed Lévy Models And Implied Volatility Skew," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-16, March.
  11. Bin Xie & Weiping Li & Nan Liang, 2021. "Pricing S&P 500 Index Options with L\'evy Jumps," Papers 2111.10033, arXiv.org, revised Nov 2021.
  12. Ross A. Maller & David H. Solomon & Alex Szimayer, 2006. "A Multinomial Approximation For American Option Prices In Lévy Process Models," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 613-633, October.
  13. Peter K. Friz & Stefan Gerhold & Marc Yor, 2013. "How to make Dupire's local volatility work with jumps," Papers 1302.5548, arXiv.org.
  14. Jose Cruz & Maria Grossinho & Daniel Sevcovic & Cyril Izuchukwu Udeani, 2022. "Linear and Nonlinear Partial Integro-Differential Equations arising from Finance," Papers 2207.11568, arXiv.org.
  15. Bergenthum Jan & Rüschendorf Ludger, 2008. "Comparison results for path-dependent options," Statistics & Risk Modeling, De Gruyter, vol. 26(1), pages 53-72, March.
  16. Liu, Hongyan & Huang, Jin & Zhang, Wei, 2021. "Numerical algorithm based on extended barycentric Lagrange interpolant for two dimensional integro-differential equations," Applied Mathematics and Computation, Elsevier, vol. 396(C).
  17. Gaviraghi, B. & Annunziato, M. & Borzì, A., 2017. "Analysis of splitting methods for solving a partial integro-differential Fokker–Planck equation," Applied Mathematics and Computation, Elsevier, vol. 294(C), pages 1-17.
  18. Maximilian Ga{ss} & Kathrin Glau, 2016. "A Flexible Galerkin Scheme for Option Pricing in L\'evy Models," Papers 1603.08216, arXiv.org.
  19. Daniel Ševčovič & Cyril Izuchukwu Udeani, 2021. "Multidimensional Linear and Nonlinear Partial Integro-Differential Equation in Bessel Potential Spaces with Applications in Option Pricing," Mathematics, MDPI, vol. 9(13), pages 1-12, June.
  20. Ludovic Mathys, 2019. "Valuing Tradeability in Exponential L\'evy Models," Papers 1912.00469, arXiv.org, revised Feb 2020.
  21. Yuecai Han & Qingshuo Song & Gu Wang, 2018. "Exit problem as the generalized solution of Dirichlet problem," Papers 1806.09302, arXiv.org, revised Jan 2019.
  22. Zailei Cheng, 2017. "Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate," Papers 1705.08411, arXiv.org.
  23. Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
  24. Marco Piccirilli & Tiziano Vargiolu, 2018. "Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes," Papers 1807.01979, arXiv.org.
  25. Martin Kegnenlezom & Patrice Takam Soh & Antoine-Marie Bogso & Yves Emvudu Wono, 2019. "European Option Pricing of electricity under exponential functional of L\'evy processes with Price-Cap principle," Papers 1906.10888, arXiv.org.
  26. Kathrin Glau, 2016. "A Feynman–Kac-type formula for Lévy processes with discontinuous killing rates," Finance and Stochastics, Springer, vol. 20(4), pages 1021-1059, October.
  27. Jakub Drahokoupil, 2020. "Variance Gamma process in the option pricing model," FFA Working Papers 3.002, Prague University of Economics and Business, revised 31 Jan 2021.
  28. Hatem Ben-Ameur & Rim Chérif & Bruno Rémillard, 2016. "American-style options in jump-diffusion models: estimation and evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1313-1324, August.
  29. Vinicius Albani & Jorge Zubelli, 2018. "A Splitting Strategy for the Calibration of Jump-Diffusion Models," Papers 1811.02028, arXiv.org.
  30. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, June.
  31. Amel Bentata & Rama Cont, 2015. "Forward equations for option prices in semimartingale models," Finance and Stochastics, Springer, vol. 19(3), pages 617-651, July.
  32. Jan Posp'iv{s}il & Vladim'ir v{S}v'igler, 2019. "Isogeometric analysis in option pricing," Papers 1910.00258, arXiv.org.
  33. Colino, Jesús P., 2008. "Weak convergence in credit risk," DES - Working Papers. Statistics and Econometrics. WS ws085518, Universidad Carlos III de Madrid. Departamento de Estadística.
  34. Vinicius V. L. Albani & Jorge P. Zubelli, 2020. "A splitting strategy for the calibration of jump-diffusion models," Finance and Stochastics, Springer, vol. 24(3), pages 677-722, July.
  35. N. Reich & C. Schwab & C. Winter, 2010. "On Kolmogorov equations for anisotropic multivariate Lévy processes," Finance and Stochastics, Springer, vol. 14(4), pages 527-567, December.
  36. Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
  37. Baurdoux, Erik J. & Pedraza, José M., 2024. "Lp optimal prediction of the last zero of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119468, London School of Economics and Political Science, LSE Library.
  38. Ludovic Mathys, 2019. "On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options," Papers 1912.00454, arXiv.org.
  39. Fernández Lexuri & Hieber Peter & Scherer Matthias, 2013. "Double-barrier first-passage times of jump-diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 107-141, July.
  40. S. Kindermann & P. Mayer, 2011. "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, vol. 15(4), pages 685-724, December.
  41. Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
  42. Andrey Itkin & Dmitry Muravey, 2023. "American options in time-dependent one-factor models: Semi-analytic pricing, numerical methods and ML support," Papers 2307.13870, arXiv.org.
  43. Lukas Gonon, 2021. "Random feature neural networks learn Black-Scholes type PDEs without curse of dimensionality," Papers 2106.08900, arXiv.org.
  44. Hainaut, Donatien & Leonenko, Nikolai, 2020. "Option pricing in illiquid markets: a fractional jump-diffusion approach," LIDAM Discussion Papers ISBA 2020003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  45. Nemat Safarov & Colin Atkinson, 2016. "Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching," Papers 1607.01207, arXiv.org, revised Jul 2016.
  46. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
  47. Jakob Sohl & Mathias Trabs, 2012. "Option calibration of exponential L\'evy models: Confidence intervals and empirical results," Papers 1202.5983, arXiv.org, revised Oct 2012.
  48. René Carmona & Sergey Nadtochiy, 2012. "Tangent Lévy market models," Finance and Stochastics, Springer, vol. 16(1), pages 63-104, January.
  49. Blanka Horvath & Oleg Reichmann, 2018. "Dirichlet Forms and Finite Element Methods for the SABR Model," Papers 1801.02719, arXiv.org.
  50. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
  51. Peter Friz & Stefan Gerhold, 2011. "Don't stay local - extrapolation analytics for Dupire's local volatility," Papers 1105.1267, arXiv.org.
  52. Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
  53. Zailei Cheng, 2017. "Optimal dividends in the dual risk model under a stochastic interest rate," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-16, March.
  54. Jacek Jakubowski & Mariusz Niewk{e}g{l}owski, 2013. "Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE," Papers 1305.4132, arXiv.org, revised Jul 2013.
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