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Fast and accurate pricing of barrier options under Lévy processes


  • Oleg Kudryavtsev


  • Sergei Levendorskiǐ



No abstract is available for this item.

Suggested Citation

  • Oleg Kudryavtsev & Sergei Levendorskiǐ, 2009. "Fast and accurate pricing of barrier options under Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 531-562, September.
  • Handle: RePEc:spr:finsto:v:13:y:2009:i:4:p:531-562
    DOI: 10.1007/s00780-009-0103-2

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    References listed on IDEAS

    1. S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
    2. Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
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    Cited by:

    1. Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016. "Additive subordination and its applications in finance," Finance and Stochastics, Springer, vol. 20(3), pages 589-634, July.
    2. Coqueret, Guillaume, 2015. "On the supremum of the spectrally negative stable process with drift," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 333-340.
    3. Maximilian Ga{ss} & Kathrin Glau & Maximilian Mair, 2015. "Magic points in finance: Empirical integration for parametric option pricing," Papers 1511.00884,, revised Nov 2016.
    4. Xun Li & Ping Lin & Xue-Cheng Tai & Jinghui Zhou, 2015. "Pricing Two-asset Options under Exponential L\'evy Model Using a Finite Element Method," Papers 1511.04950,
    5. Fajardo, José, 2015. "Barrier style contracts under Lévy processes: An alternative approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 179-187.

    More about this item


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

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques


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