PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER

DOI10.1142/S0219024911006632zbMath1232.91647OpenAlexW3122226896MaRDI QIDQ3107930

Marco de Innocentis, Mitya Boyarchenko, Sergei Levendorskii

Publication date: 28 December 2011

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

Full work available at URL: https://doi.org/10.1142/s0219024911006632

zbMATH Keywords

asymptoticsLévy processesoption pricingWiener-Hopf factorizationbarrier optionsCarr's randomizationnormal inverse Gaussian processesfirst=touch digitalsone-touch option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies ⋮ Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes ⋮ EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS ⋮ Pricing discrete barrier options and credit default swaps under Lévy processes ⋮ Approximating Lévy processes with completely monotone jumps

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