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Russian and American put options under exponential phase-type Lévy models · Study

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ArticleRussian and American put options under exponential phase-type Lévy models

Søren Asmussen2003

OA

Articlebronze2003

Russian and American put options under exponential phase-type Lévy models

Søren Asmussen · Florin Avram · Martijn R. Pistorius

339 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2002A Jump-Diffusion Model for Option Pricing 1998The Variance Gamma Process and Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 1984Matrix-Geometric Solutions to Stochastic Models 1997Processes of normal inverse Gaussian type 1995Hyperbolic Distributions in Finance

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2012The Theory of Scale Functions for Spectrally Negative Lévy Processes 2005Some remarks on first passage of Lévy processes, the American put and pasting principles 2011Option Pricing Under a Mixed-Exponential Jump Diffusion Model 2010Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes 2012Exit problems for jump processes with applications to dividend problems 2008Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

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Year2003

Typearticle

Published2003-10-11

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations339

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2003.07.005

openalex_workW2090789457

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2007Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

2009Fast and accurate pricing of barrier options under Lévy processes