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Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema - MaRDI portal

Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema

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Publication:6417259

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arXiv2211.07765MaRDI QIDQ6417259

Sergei Levendorskii, Svetlana Boyarchenko

Publication date: 30 October 2022

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for problems pertaining to probability theory (60-08) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Numerical methods for integral transforms (65R10) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

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