Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model

DOI10.1007/978-3-319-33446-2_14zbMath1398.91670OpenAlexW2558248817MaRDI QIDQ4689913

M'hamed Eddahbi, Ernst Eberlein, Sidi Mohamed Lalaoui Ben Cherif

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_14

zbMATH Keywords

Fourier transformMalliavin calculusoption valuationtime-inhomogeneous Lévy processesGreeks and sensitivity analysisLévy forward process model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model

Cites Work

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• Analysis of Fourier Transform Valuation Formulas and Applications
• The Malliavin Calculus and Related Topics
• Inhomogeneous and modulated gamma processes
• Mathematical Finance
• On Some Generalizations of the Cauchy-Frullani Integral

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