Fluctuation identities with continuous monitoring and their application to price barrier options
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Winfried K. Grassmann & Joti L. Jain, 1989. "Numerical Solutions of the Waiting Time Distribution and Idle Time Distribution of the Arithmetic GI/G/1 Queue," Operations Research, INFORMS, vol. 37(1), pages 141-150, February.
- S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
- Fang, Fang & Oosterlee, Kees, 2008.
"A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions,"
MPRA Paper
9319, University Library of Munich, Germany.
- Fang, Fang & Oosterlee, Kees, 2008. "A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions," MPRA Paper 7700, University Library of Munich, Germany.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016.
"Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options,"
European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," LSE Research Online Documents on Economics 67564, London School of Economics and Political Science, LSE Library.
- Merton, Robert C., 1976.
"Option pricing when underlying stock returns are discontinuous,"
Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Gianluca Fusai & I. Abrahams & Carlo Sgarra, 2006. "An exact analytical solution for discrete barrier options," Finance and Stochastics, Springer, vol. 10(1), pages 1-26, January.
- Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2019.
"Hilbert transform, spectral filters and option pricing,"
Annals of Operations Research, Springer, vol. 282(1), pages 273-298, November.
- Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filters and option pricing," Papers 1706.09755, arXiv.org, revised Jan 2020.
- Morris A. Cohen & Dov Pekelman, 1978. "LIFO Inventory Systems," Management Science, INFORMS, vol. 24(11), pages 1150-1162, July.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Alan L. Lewis, 2001. "A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes," Related articles explevy, Finance Press.
- Liming Feng & Vadim Linetsky, 2008. "Pricing Discretely Monitored Barrier Options And Defaultable Bonds In Lévy Process Models: A Fast Hilbert Transform Approach," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 337-384, July.
- Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349, October.
- Chi, Yichun & Lin, X. Sheldon, 2011. "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May.
- Joseph Abate & Ward Whitt, 1995. "Numerical Inversion of Laplace Transforms of Probability Distributions," INFORMS Journal on Computing, INFORMS, vol. 7(1), pages 36-43, February.
- Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018. "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, vol. 271(1), pages 210-223.
- Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2019.
"Hilbert transform, spectral filters and option pricing,"
Annals of Operations Research, Springer, vol. 282(1), pages 273-298, November.
- Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017. "Hilbert transform, spectral filters and option pricing," Papers 1706.09755, arXiv.org, revised Jan 2020.
- C. E. Phelan & D. Marazzina & G. Germano, 2020.
"Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities,"
Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.
- Phelan, C. E. & Marazzina, D. & Germano, G., 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," LSE Research Online Documents on Economics 103780, London School of Economics and Political Science, LSE Library.
- Svetlana Boyarchenko & Sergei Levendorskiä¬ & J. Lars Kyrkby & Zhenyu Cui, 2021.
"Sinh-Acceleration For B-Spline Projection With Option Pricing Applications,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(08), pages 1-50, December.
- Svetlana Boyarchenko & Sergei Levendorskiu{i} & J. Lars Kirkby & Zhenyu Cui, 2021. "SINH-acceleration for B-spline projection with Option Pricing Applications," Papers 2109.08738, arXiv.org.
- Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Kontosakos, Vasileios E. & Mendonca, Keegan & Pantelous, Athanasios A. & Zuev, Konstantin M., 2021. "Pricing discretely-monitored double barrier options with small probabilities of execution," European Journal of Operational Research, Elsevier, vol. 290(1), pages 313-330.
- Rong Du & Duy-Minh Dang, 2023. "Fourier Neural Network Approximation of Transition Densities in Finance," Papers 2309.03966, arXiv.org, revised Sep 2024.
- Fang, Fang & Oosterlee, Kees, 2008. "Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions," MPRA Paper 9248, University Library of Munich, Germany.
- Muroi, Yoshifumi & Suda, Shintaro, 2022. "Binomial tree method for option pricing: Discrete cosine transform approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 198(C), pages 312-331.
- Philipp Mayer & Natalie Packham & Wolfgang Schmidt, 2015. "Static hedging under maturity mismatch," Finance and Stochastics, Springer, vol. 19(3), pages 509-539, July.
- 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.
- Corsaro, Stefania & Kyriakou, Ioannis & Marazzina, Daniele & Marino, Zelda, 2019. "A general framework for pricing Asian options under stochastic volatility on parallel architectures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1082-1095.
- Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
- Li, Zhe & Zhang, Wei-Guo & Liu, Yong-Jun & Zhang, Yue, 2019. "Pricing discrete barrier options under jump-diffusion model with liquidity risk," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 347-368.
- Cai, Ning & Li, Chenxu & Shi, Chao, 2021. "Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Jean-Philippe Aguilar & Jan Korbel & Nicolas Pesci, 2021. "On the Quantitative Properties of Some Market Models Involving Fractional Derivatives," Mathematics, MDPI, vol. 9(24), pages 1-24, December.
- Dilip B. Madan & Wim Schoutens, 2019. "Arbitrage Free Approximations to Candidate Volatility Surface Quotations," JRFM, MDPI, vol. 12(2), pages 1-21, April.
- Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
- Jean-Philippe Aguilar, 2021. "The value of power-related options under spectrally negative Lévy processes," Review of Derivatives Research, Springer, vol. 24(2), pages 173-196, July.
- Yan Qu & Angelos Dassios & Hongbiao Zhao, 2023. "Shot-noise cojumps: Exact simulation and option pricing," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 74(3), pages 647-665, March.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2017-12-11 (Computational Economics)
Statistics
Access and download statisticsCorrections
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:arx:papers:1712.00077. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.