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Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
16 references·1 citing·32 second hop
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (2018)Fluctuation identities with continuous mo…Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010)Wiener–Hopf factorization and…Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Pricing early-exercise and di…PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)PRICING DISCRETELY MONITORED …A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes (2004)Ruin Probabilities and Oversh…Ruin probabilities and overshoots for general Lévy insurance risk processes (2004)Ruin probabilities and oversh…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes (2001)A Simple Option Formula for G…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…Fluid Models in Queueing Theory and Wiener-Hopf Factorization of Markov Chains (1994)Fluid Models in Queueing Theo…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…A data-driven framework for consistent financial valuation and risk measurement (2020)A data-driven framework for c…The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)The Variance Gamma Process and Option Pricing (1998)Robust numerical methods for contingent claims under jump diffusion processes (2004)The characteristic function of rough Heston models (2019)Theory of rational option pricing (2005)Estimating quadratic variation using realized variance (2002)Stochastic Integration and Differential Equations (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Financial Modelling with Jump Processes (2003)On the Heston Model with Stochastic Interest Rates (2011)“Options, Futures, and Other Derivatives” (2016)Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (2018)Connecting discrete and continuous path-dependent options (1999)Brownian Motion and Stochastic Calculus (2007)Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Design of computer experiments: A review (2017)The Behavior of Stock-Market Prices (1965)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Time-changed Lévy processes and option pricing (2003)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes316 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
  • 1994Fluid Models in Queueing Theory and Wiener-Hopf Factorization of Markov Chains248 cited
  • 2008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH188 cited
  • 2004Ruin probabilities and overshoots for general Lévy insurance risk processes151 cited

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2004
Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes
146 cited
  • 2010Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes130 cited
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    • 2020A data-driven framework for consistent financial valuation and risk measurement28 cited