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Exotic options under Lévy models: An overview · Study

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ArticleExotic options under Lévy models: An overview

Wim Schoutens2005

OA

Articlebronze2005

Exotic options under Lévy models: An overview

41 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Probability and Risk Models Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2003Monte Carlo Methods in Financial Engineering 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2003Financial Modelling with Jump Processes 1999Option valuation using the fast Fourier transform 2004Lévy Processes and Stochastic Calculus

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2016A high order finite element scheme for pricing options under regime switching jump diffusion processes 2008Efficient static replication of European options under exponential Lévy models

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Details

Year2005

Typearticle

Published2005-11-16

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2005.10.004

openalex_workW2014004606

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