This paper presents the implementation to the class of jump diffusion models of the approach used by Boyarchenko and Levendorskii (2002) in the case of exponential Lévy models. We show that this approach is more computationally efficient than the semi closed form solutions derived by Kou...

The aim of this paper is to value EIA contracts with surrender option at a fair price in a stochastic interest rate environment. A non Gaussian model is proposed where a new process called Kou Regime Switching process is introduced to give a more realistic modelling for financial prices. A...

The goal of this paper is to suggest a general approach for risk management by allowing jumps occurring in the underlying assets dynamics. This methodology is based on the generalized Fourier transform in line with the works of Lewis (2001), Boyarchenko and Levendorski i (2000) as well as...