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Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series

Chan, Tat Lung; Hale, Nicholas - In: Quantitative finance 20 (2020) 8, pp. 1307-1324

Persistent link: https://www.econbiz.de/10012262664

Hedging and pricing early-exercise options with complex fourier series expansion

Chan, Tat Lung - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-25

Persistent link: https://www.econbiz.de/10012666044

Simple formulas for pricing and hedging European options in the finite moment log-stable model

Aguilar, Jean-Philippe; Korbel, Jan - In: Risks : open access journal 7 (2019) 2/36, pp. 1-14

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

Persistent link: https://www.econbiz.de/10012019316

Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes

Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853

Persistent link: https://www.econbiz.de/10014228463

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

Lévy jump risk : evidence from options and returns

Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10010375952

Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models

Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad - In: Applied mathematical finance 23 (2016) 1/2, pp. 135-157

Persistent link: https://www.econbiz.de/10011547000

Quanto option pricing in the presence of fat tails and asymmetric dependence

Kim, Young Shin; Lee, Jaesung; Mittnik, Stefan; Park, Jiho - In: Journal of econometrics 187 (2015) 2, pp. 512-520

Persistent link: https://www.econbiz.de/10011499753

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

Fusai, Gianluca; Germano, Guido; Marazzina, Daniele - In: European journal of operational research : EJOR 251 (2016) 1, pp. 124-134

Persistent link: https://www.econbiz.de/10011446230

American and exotic option pricing with jump diffusions and other Lévy processes

Kirkby, J. Lars - In: The journal of computational finance 22 (2018) 3, pp. 89-148

Persistent link: https://www.econbiz.de/10011988194