Barrier Options Under Lévy Processes: A Simple Short-Cut

SSRN Electronic Journal ◽

10.2139/ssrn.2239427 ◽

2013 ◽

Author(s):

José Fajardo

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Barrier Options

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Pricing discrete barrier options and credit default swaps under Lévy processes

Quantitative Finance ◽

10.1080/14697688.2013.826814 ◽

2013 ◽

Vol 14 (8) ◽

pp. 1337-1365 ◽

Cited By ~ 32

Author(s):

Marco De Innocentis ◽

Sergei Levendorskiĭ

Keyword(s):

Lévy Processes ◽

Credit Default Swaps ◽

Levy Processes ◽

Barrier Options ◽

Credit Default

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Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2016.11.012 ◽

2017 ◽

Vol 75 ◽

pp. 167-183 ◽

Cited By ~ 9

Author(s):

Guanghua Lian ◽

Song-Ping Zhu ◽

Robert J. Elliott ◽

Zhenyu Cui

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Time Dependent ◽

Barrier Options

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Explicit solutions of the exit problem for a class of Lévy processes; applications to the pricing of double-barrier options

Stochastic Processes and their Applications ◽

10.1016/j.spa.2011.09.008 ◽

2012 ◽

Vol 122 (3) ◽

pp. 1034-1067 ◽

Cited By ~ 5

Author(s):

Sonia Fourati

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Explicit Solutions ◽

Barrier Options ◽

Double Barrier ◽

Exit Problem

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Pricing Discrete Barrier Options and Credit Default Swaps Under Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2080215 ◽

2012 ◽

Cited By ~ 1

Author(s):

Marco de Innocentis ◽

Sergei Z. Levendorskii

Keyword(s):

Lévy Processes ◽

Credit Default Swaps ◽

Levy Processes ◽

Barrier Options ◽

Credit Default

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A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes

Quantitative Finance ◽

10.1080/14697680902896057 ◽

2010 ◽

Vol 10 (6) ◽

pp. 629-644 ◽

Cited By ~ 51

Author(s):

Marc Jeannin ◽

Martijn Pistorius

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Barrier Options

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Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani

Finance Research Letters ◽

10.1016/j.frl.2016.06.004 ◽

2016 ◽

Vol 19 ◽

pp. 67-74 ◽

Cited By ~ 3

Author(s):

Shuang Xiao ◽

Shihua Ma

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Barrier Options ◽

Double Barrier

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Fast and Accurate Pricing of Barrier Options Under Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.1040061 ◽

2007 ◽

Cited By ~ 6

Author(s):

Oleg E. Kudryavtsev ◽

Sergei Z. Levendorskii

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Barrier Options

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Double Barrier Options Under Lévy Processes

Modern Operator Theory and Applications - Operator Theory: Advances and Applications ◽

10.1007/978-3-7643-7737-3_8 ◽

2006 ◽

pp. 107-135 ◽

Cited By ~ 3

Author(s):

Sergei M. Grudsky

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Barrier Options ◽

Double Barrier

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Fast and accurate pricing of barrier options under Lévy processes

Finance and Stochastics ◽

10.1007/s00780-009-0103-2 ◽

2009 ◽

Vol 13 (4) ◽

pp. 531-562 ◽

Cited By ~ 51

Author(s):

Oleg Kudryavtsev ◽

Sergei Levendorskiǐ

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Barrier Options

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Barrier options and touch-and-out options under regular Lévy processes of exponential type

10.1214/aoap/1037125863 ◽

2002 ◽

Vol 12 (4) ◽

pp. 1261-1298 ◽

Cited By ~ 72

Author(s):

Svetlana Boyarchenko ◽

Sergei Levendorskiĭ

Keyword(s):

Exponential Type ◽

Lévy Processes ◽

Levy Processes ◽

Barrier Options

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