Early exercise boundary and option prices in Levy driven models
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DOI: 10.1080/14697680400000036
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Cited by:
- Todorov, Viktor & Tauchen, George, 2010.
"Activity signature functions for high-frequency data analysis,"
Journal of Econometrics, Elsevier, vol. 154(2), pages 125-138, February.
- George Tauchen & Viktor Todorov, 2010. "Activity Signature Functions for High-Frequency Data Analysis," Working Papers 10-08, Duke University, Department of Economics.
- Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Leippold, Markus & Vasiljević, Nikola, 2017.
"Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model,"
Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
- Markus LEIPPOLD & Nikola VASILJEVIC, 2015. "Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model," Swiss Finance Institute Research Paper Series 15-08, Swiss Finance Institute, revised Mar 2015.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models," Papers 2312.03915, arXiv.org.
- Chen, Son-Nan & Hsu, Pao-Peng, 2018. "Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 330-346.
- Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions," Papers 2312.03929, arXiv.org.
- Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
- Z. Jiang & M. R. Pistorius, 2008. "On perpetual American put valuation and first-passage in a regime-switching model with jumps," Papers 0803.2302, arXiv.org.
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