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

DOI10.1142/S0219024909005610zbMath1183.91177OpenAlexW3123374319MaRDI QIDQ3400131

Mitya Boyarchenko, Sergei Levendorskii

Publication date: 5 February 2010

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

Full work available at URL: https://doi.org/10.1142/s0219024909005610

zbMATH Keywords

Lévy processesoption pricingfast Fourier transformWiener-Hopf factorizationCGMY modelGreeksbarrier optionsvariance gamma processesCarr's randomizationfirst-touch digitalsnormal inverse Gaussian processesKobol processes

Mathematics Subject Classification ID

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

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