In this paper, we shall propose a useful approach to evaluate concretely the MEMM (minimal entropy martingale measure) for the typical geometric Lévy processes such as compound Poisson, stable, VG (Variance Gamma), CGMY (Carr-Geman-Madan-Yor), NIG (Normal Inverse Gaussian), etc. In addition, we...

Turbo warrant is a special type of barrier options in which the rebate is calculated as another exotic option. In this paper, using Laplace transforms we obtain the valuation of turbo warrants under mixed-exponential jump diffusion model, which is able to approximate any jump size distribution....