Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method

DOI10.1080/14697688.2014.941914zbMath1398.91567OpenAlexW2017025907MaRDI QIDQ4683049

Mitya Boyarchenko, Sergei Levendorskii

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.941914

zbMATH Keywords

Laplace transformWiener-Hopf factorizationcredit default swapsbarrier optionsspectrally one-sided Lévy processesparabolic inverse Laplace transformghost calibration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (9)

SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS ⋮ Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space ⋮ Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models ⋮ Pitfalls of the Fourier Transform Method in Affine Models, and Remedies

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