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Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach
16 references·1 citing·36 second hop
Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach (2014)Pricing Barrier and Bermudan Style Option…A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (2011)A Fourier-Based Valuation Met…Simple and efficient simulation of the Heston stochastic volatility model (2008)Simple and efficient simulati…PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)PRICING DISCRETELY MONITORED …Fourier space time-stepping for option pricing with Lévy models (2008)Fourier space time-stepping f…A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)A Fast and Accurate FFT-Based…Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Exact Simulation of Stochasti…An exact analytical solution for discrete barrier options (2005)An exact analytical solution …A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (2005)A Double-Exponential Fast Gau…Numerical pricing of discrete barrier and lookback options via Laplace transforms (2004)Numerical pricing of discrete…Time-changed Lévy processes and option pricing (2003)Time-changed Lévy processes a…Stochastic Volatility for Lévy Processes (2003)Stochastic Volatility for Lév…PDE methods for pricing barrier options (2000)PDE methods for pricing barri…Connecting discrete and continuous path-dependent options (1999)Connecting discrete and conti…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models (2017)A Fast Preconditioned Penalty…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option valuation using the fast Fourier transform (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)A Fourier Transform Method for Spread Option Pricing (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods (1998)Pricing Lookback and Barrier Options under the CEV Process (1999)Theory of rational option pricing (2005)CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Finite Moment Log Stable Process and Option Pricing (2003)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)A comparison of biased simulation schemes for stochastic volatility models (2009)Numerical solution of stochastic differential equations (2016)Exploring the sources of default clustering (2018)Deep hedging (2019)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Brownian Motion and Stochastic Calculus (2007)Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Design of computer experiments: A review (2017)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)High order discretization schemes for the CIR process: Application to affine term structure and Heston models (2009)On the Heston Model with Stochastic Interest Rates (2011)Realized Skewness (2012)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Tails, Fears, and Risk Premia (2011)
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References

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  • 2003Stochastic Volatility for Lévy Processes871 cited
  • 2003Time-changed Lévy processes and option pricing674 cited
  • 2006Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes493 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 2008Simple and efficient simulation of the Heston stochastic volatility model266 cited
  • 2008A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes249 cited
  • 1999Connecting discrete and continuous path-dependent options208 cited
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  • 2008PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH188 cited
  • 2008Fourier space time-stepping for option pricing with Lévy models139 cited
  • 2011A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model137 cited
  • 2005An exact analytical solution for discrete barrier options89 cited
  • 2005A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options

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83 cited
  • 2004Numerical pricing of discrete barrier and lookback options via Laplace transforms78 cited
  • Cited by

    • 2017A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models26 cited