EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS

DOI10.1142/S0219024913500118zbMath1269.91084MaRDI QIDQ2841327

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 24 July 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Fourier transformWiener-Hopf factorizationLaplace inversionlookback optionconformal deformationsparabolic inverse Fourier transformparabolic inverse Laplace transform

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (13)

SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ A general approach for lookback option pricing under Markov models ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS ⋮ Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space ⋮ Conformal accelerations method and efficient evaluation of stable distributions ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies ⋮ Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method ⋮ Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes

Cites Work

• Processes of normal inverse Gaussian type
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• Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier
• PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER
• Multi-precision Laplace transform inversion
• PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
• The Accurate Numerical Inversion of Laplace Transforms
• Option Pricing With V. G. Martingale Components¹
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Perpetual American Options Under Lévy Processes
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
• The Variance Gamma Process and Option Pricing

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