Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier

DOI10.1137/100788331zbMath1229.91316OpenAlexW2914711908MaRDI QIDQ3074986

Sergei Levendorskii

Publication date: 10 February 2011

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100788331

zbMATH Keywords

greeksasymptoticsLévy processesWiener-Hopf factorizationCGMY modelbarrier optionsvariance gamma processes\(\beta\)-classCarr's randomizationfirst-touch digitalskobol processesnormal inverse Gaussian processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Special processes (60K99) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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