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...