Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models

DOI10.1007/s40590-016-0104-zzbMath1351.60058OpenAlexW3121612903MaRDI QIDQ334773

Oleg Kudryavtsev

Publication date: 1 November 2016

Published in: Boletín de la Sociedad Matemática Mexicana. Third Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40590-016-0104-z

zbMATH Keywords

Laplace transformcomputational methodsfactorizationjump processesmathematical financeLévy modelsfirst-passage probabilities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Derivative securities (option pricing, hedging, etc.) (91G20) Convolution, factorization for one variable harmonic analysis (42A85)

Related Items

Applications of artificial neural networks to simulating Lévy processes, Forward-looking portfolio selection with multivariate non-Gaussian models, Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes, Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model, A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options

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