Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach

DOI10.1155/2013/963625zbMath1328.91285OpenAlexW2064406766WikidataQ51116572 ScholiaQ51116572MaRDI QIDQ904596

Oleg Kudryavtsev

Publication date: 13 January 2016

Published in: The Scientific World Journal. Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/963625

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) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models ⋮ Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations ⋮ Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes ⋮ Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model ⋮ A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options

Cites Work

• A Jump-Diffusion Model for Option Pricing
• American options: the EPV pricing model
• Exotic options under Lévy models: an overview
• Fast and accurate pricing of barrier options under Lévy processes
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• Hyperbolic distributions in finance
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• DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
• Wavelet Galerkin pricing of American options on Lévy driven assets
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
• Feller processes of normal inverse Gaussian type
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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