Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
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Publication:3111060
DOI10.1239/aap/1324045702zbMath1235.60049arXiv1009.4884OpenAlexW2963855424MaRDI QIDQ3111060
Damien Lamberton, El Hadj Aly Dia
Publication date: 17 January 2012
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.4884
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Related Items (10)
Importance sampling and statistical Romberg method for Lévy processes ⋮ A comprehensive mathematical approach to exotic option pricing ⋮ Zooming in on a Lévy process at its supremum ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Multilevel Monte Carlo for exponential Lévy models ⋮ Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach ⋮ Continuity correction: on the pricing of discrete double barrier options ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ Error Bounds for Small Jumps of Lévy Processes ⋮ LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL
Cites Work
- Connecting discrete and continuous path-dependent options
- Discretization error in simulation of one-dimensional reflecting Brownian motion
- Stopped diffusion processes: boundary corrections and overshoot
- A Continuity Correction for Discrete Barrier Options
- Financial Modelling with Jump Processes
- Continuity Correction for Barrier Options in Jump-Diffusion Models
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