IDEAS home Printed from https://ideas.repec.org/a/kap/compec/v17y2001i1p81-92.html
   My bibliography  Save this article

Time Changes, Laplace Transforms and Path-Dependent Options

Author

Listed:
  • Geman, Helyette

Abstract

Path-dependent options have become increasingly popular over the last few years, in particular in FX markets, because of the greater precision with which they allow investors to choose or avoid exposure to well-defined sources of risk. The goal of the paper is to exhibit the power of stochastic time changes and Laplace transform techniques in the evaluation and hedging of path-dependent options in the Black-Scholes-Merton setting. We illustrate these properties in the specific case of Asian options and continuously (de-)activating double-barrier options and show that in both cases, the pricing and, just as important, the hedging results are more accurate than the ones obtained through Monte Carlo simulations. Copyright 2001 by Kluwer Academic Publishers

Suggested Citation

  • Geman, Helyette, 2001. "Time Changes, Laplace Transforms and Path-Dependent Options," Computational Economics, Springer;Society for Computational Economics, vol. 17(1), pages 81-92, February.
    • Handle: RePEc:kap:compec:v:17:y:2001:i:1:p:81-92
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0927-7099/contents
    Download Restriction: Access to the full text of the articles in this series is restricted.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:17:y:2001:i:1:p:81-92. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.