Search Results - subject:"Wiener–Hopf factorization"

Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality

Hainaut, Donatien; Deelstra, Griselda - In: Journal of economic dynamics & control 44 (2014), pp. 124-146

Persistent link: https://www.econbiz.de/10010473569

Method of paired contours and pricing barrier options and CDSs of long maturities

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58

Persistent link: https://www.econbiz.de/10010437194

EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS

BOYARCHENKO, SVETLANA; LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 16 (2013) 03, pp. 1350011-1

We construct fast and accurate methods for (a) approximate Laplace inversion, (b) approximate calculation of the Wiener-Hopf factors for wide classes of Lévy processes with exponentially decaying Lévy densities, and (c) approximate pricing of lookback options. In all cases, we use appropriate...

Persistent link: https://www.econbiz.de/10010883211

Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-40

Persistent link: https://www.econbiz.de/10009756073

On the Wiener–Hopf factorization for Lévy processes with bounded positive jumps

Kuznetsov, A.; Peng, X. - In: Stochastic Processes and their Applications 122 (2012) 7, pp. 2610-2638

We study the Wiener–Hopf factorization for Lévy processes with bounded positive jumps and arbitrary negative jumps. We …

Persistent link: https://www.econbiz.de/10011065024

Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options

Fourati, Sonia - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 1034-1067

Lewis and Mordecki have computed the Wiener–Hopf factorization of a Lévy process whose restriction of the Lévy measure …

Persistent link: https://www.econbiz.de/10011065049

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

We calculate the leading term of asymptotics of the prices of barrier options and first-touch digitals near the barrier for wide classes of Lévy processes with exponential jump densities, including the Variance Gamma model, the KoBoL (a.k.a. CGMY) model and Normal Inverse Gaussian processes. In...

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

problems is solved using an efficient iteration algorithm and the Wiener-Hopf factorization. …

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