Perpetual Put-Like and Call-Like American Options under Levy Processes, and Incremental Capital Expansion

2004 ◽  
Author(s):  
Svetlana I. Boyarchenko ◽  
Sergei Z. Levendorskii
Keyword(s):  
Lévy Processes ◽  
American Options ◽  
Levy Processes

Numerical pricing of American options under infinite activity Lévy processes

2010 ◽  
Vol 31 (9) ◽  
pp. 809-829 ◽  
Author(s):  
Nisha Rambeerich ◽  
Desire Yannick Tangman ◽  
Muddun Bhuruth
Keyword(s):  
Lévy Processes ◽  
American Options ◽  
Levy Processes

Perpetual American Options Under Lévy Processes

2002 ◽  
Vol 40 (6) ◽  
pp. 1663-1696 ◽  
Author(s):  
S. I. Boyarchenko ◽  
S. Z. Levendorskii
Keyword(s):  
Lévy Processes ◽  
American Options ◽  
Levy Processes

On correlating Lévy processes

2010 ◽  
Vol 13 (1) ◽  
pp. 3-16 ◽  
Author(s):  
Ernst Eberlein ◽  
Dilip Madan
Keyword(s):  
Lévy Processes ◽  
Levy Processes
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