Laplace transform approach to option pricing for time-changed Brownian models

DOI10.1080/03610918.2015.1035446zbMath1366.91163OpenAlexW2551292741MaRDI QIDQ5267902

Yu Xing, Xiao-Ping Yang

Publication date: 13 June 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1035446

zbMATH Keywords

Fourier transformLaplace transformoption pricingtime-changed Brownian models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for trigonometric approximation and interpolation (65T40)

Related Items (2)

Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL

Cites Work

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• Financial Modelling with Jump Processes
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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