FFT-network for bivariate Lévy option pricing

DOI10.1007/s13160-020-00439-7zbMath1461.91309OpenAlexW3080103273MaRDI QIDQ2024616

Hoi Ying Wong, Mei Choi Chiu, Weiyin Wang

Publication date: 4 May 2021

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-020-00439-7

zbMATH Keywords

Lévy processesoption pricingfast Fourier transformlattice approach

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
• On exact pricing of FX options in multivariate time-changed Lévy models
• Option pricing with mean reversion and stochastic volatility
• Processes of normal inverse Gaussian type
• FFT network for interest rate derivatives with Lévy processes
• On the difference between locally risk-minimizing and delta hedging strategies for exponential Lévy models
• Numerical valuation of options with jumps in the underlying
• Term Structure Models Driven by General Levy Processes
• An Artificial Boundary Method for American Option Pricing under the CEV Model
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• A Fourier Transform Method for Spread Option Pricing
• Fourier space time-stepping for option pricing with Lévy models
• Robust numerical methods for contingent claims under jump diffusion processes
• Financial Modelling with Jump Processes
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

This page was built for publication: FFT-network for bivariate Lévy option pricing