Search Results - subject:"Carr's randomization"

PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER

BOYARCHENKO, MITYA; INNOCENTIS, MARCO DE; … - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1045-1090

calculate the second term of asymptotics as well. By comparing the exact asymptotic results for prices with those of Carr …'s randomization approximation, we conclude that the latter is very accurate near the barrier. We illustrate this by including …

Persistent link: https://www.econbiz.de/10009393842

DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS

BOYARCHENKO, MITYA; BOYARCHENKO, SVETLANA - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1005-1043

a factor of 5). The first step of our approach is Carr's randomization, whose convergence we prove for barrier and …

Persistent link: https://www.econbiz.de/10009393848

Prices of barrier and first-touch digital options in Lévy-driven models, near barrier

Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090

Persistent link: https://www.econbiz.de/10009407673

Double barrier options in regime-switching hyper-exponential jump-diffusion models

Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043

Persistent link: https://www.econbiz.de/10009407678

PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS

BOYARCHENKO, MITYA; LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 12 (2009) 08, pp. 1125-1170

We present a fast and accurate FFT-based method of computing the prices and sensitivities of barrier options and first-touch digital options on stocks whose log-price follows a Lévy process. The numerical results obtained via our approach are demonstrated to be in good agreement with the...

Persistent link: https://www.econbiz.de/10008493065