Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes

DOI10.1080/1350486X.2014.960529zbMath1396.91769OpenAlexW3122214056MaRDI QIDQ4682477

Yuji Umezawa, Akira Yamazaki

Publication date: 18 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2014.960529

zbMATH Keywords

Fourier transformtime-changed Lévy processpath-dependent optionintertemporal joint distributionmultivariate characteristic function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

A general framework for time-changed Markov processes and applications ⋮ A dynamic equilibrium model for U-shaped pricing kernels ⋮ Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes ⋮ A general control variate method for Lévy models in finance ⋮ Pricing average options under time-changed Lévy processes ⋮ RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES ⋮ GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING ⋮ AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS

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