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The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of the asset price process. An interplay between the...
Persistent link: https://www.econbiz.de/10008674996
One of the fundamental problems in financial mathematics is to develop efficient algorithms for pricing options in advanced models such as those driven by Lévy processes. Essentially there are three approaches in use. These are Monte Carlo, Fourier transform and partial integro-differential...
Persistent link: https://www.econbiz.de/10010952255
Index option pricing on world market indices are investigated using Levy processes with no positive jumps. Economically this is motivated by the possible absence of longer horizon short positions while mathematically we are able to evaluate for such processes the probability of a rally before a...
Persistent link: https://www.econbiz.de/10008609610