Robust barrier option pricing by frame projection under exponential Lévy dynamics

DOI10.1080/1350486X.2017.1384701zbMath1398.91672OpenAlexW3121955291WikidataQ115550015 ScholiaQ115550015MaRDI QIDQ5373910

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Publication date: 6 April 2018

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

Full work available at URL: https://doi.org/10.1080/1350486x.2017.1384701

zbMATH Keywords

PROJLévy processesfast Fourier transformToeplitzexotic option pricingParisian optionsdiscretely monitoredbarrier optionsoccupation time derivativesCGMYcumulative Parisian optionsdelayed barrier optionsfader optionknock outParisianstep option

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)

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Uses Software

• PROJ_Option_Pricing_Matlab

Cites Work

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