VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES

DOI10.1111/j.1467-9965.2010.00469.xzbMath1278.91180OpenAlexW2318252431MaRDI QIDQ4906521

Mitya Boyarchenko, Sergei Levendorskii

Publication date: 28 February 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00469.x

zbMATH Keywords

Laplace transformLévy processesoption pricingWiener-Hopf factorizationCGMY modelFast Fourier Transformdouble barrier optionsvariance gamma processesCarr's randomizationnormal inverse Gaussian processesdouble-no-touch optionsKoBoL processesKuznetsov's \(\beta\)-processes

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)

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