Calibration of Lévy Processes with American Options

Partial Differential Equations - Computational Methods in Applied Sciences ◽

10.1007/978-1-4020-8758-5_15 ◽

2008 ◽

pp. 259-277

Author(s):

Yves Achdou

Keyword(s):

Lévy Processes ◽

American Options ◽

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Perpetual Put-Like and Call-Like American Options under Levy Processes, and Incremental Capital Expansion

SSRN Electronic Journal ◽

10.2139/ssrn.510423 ◽

2004 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Lévy Processes ◽

American Options ◽

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Perpetual American options under Levy processes

Proceedings of the 41st IEEE Conference on Decision and Control, 2002. ◽

10.1109/cdc.2002.1185072 ◽

2004 ◽

Author(s):

S.I. Boyarchenko ◽

S.Z. Levendorskii

Keyword(s):

Lévy Processes ◽

American Options ◽

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A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes

Stochastic Processes and their Applications ◽

10.1016/j.spa.2015.03.003 ◽

2015 ◽

Vol 125 (8) ◽

pp. 3234-3254 ◽

Author(s):

Florian Kleinert ◽

Kees van Schaik

Keyword(s):

Lévy Processes ◽

American Options ◽

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The relative efficiency of numerical methods for pricing American options under Lévy processes

The Journal of Computational Finance ◽

10.21314/jcf.2005.157 ◽

2005 ◽

Vol 9 (2) ◽

pp. 69-97 ◽

Author(s):

Sergei Levendorskio ◽

Oleg Kudryavtsev ◽

Vadim Zherder

Keyword(s):

Numerical Methods ◽

Relative Efficiency ◽

Lévy Processes ◽

American Options ◽

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Numerical pricing of American options under infinite activity Lévy processes

Journal of Futures Markets ◽

10.1002/fut.20497 ◽

2010 ◽

Vol 31 (9) ◽

pp. 809-829 ◽

Author(s):

Nisha Rambeerich ◽

Desire Yannick Tangman ◽

Muddun Bhuruth

Keyword(s):

Lévy Processes ◽

American Options ◽

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A Note on Relative Efficiency of Some Numerical Methods for Pricing of American Options Under Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.610542 ◽

2004 ◽

Author(s):

Sergei Z. Levendorskii ◽

Oleg E. Kudryavtsev ◽

Vadim M. Zherder

Keyword(s):

Numerical Methods ◽

Relative Efficiency ◽

Lévy Processes ◽

American Options ◽

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Perpetual American Options Under Lévy Processes

SIAM Journal on Control and Optimization ◽

10.1137/s0363012900373987 ◽

2002 ◽

Vol 40 (6) ◽

pp. 1663-1696 ◽

Author(s):

S. I. Boyarchenko ◽

S. Z. Levendorskii

Keyword(s):

Lévy Processes ◽

American Options ◽

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Lévy Processes and Stochastic Calculus

10.1017/cbo9780511755323 ◽

2004 ◽

Author(s):

David Applebaum

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

Stochastic Calculus

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On correlating Lévy processes

The Journal of Risk ◽

10.21314/jor.2010.219 ◽

2010 ◽

Vol 13 (1) ◽

pp. 3-16 ◽

Author(s):

Ernst Eberlein ◽

Dilip Madan

Keyword(s):

Lévy Processes ◽

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Fast Pricing and Calculation of Sensitivities of OTM European Options Under Levy Processes

SSRN Electronic Journal ◽

10.2139/ssrn.1589809 ◽

2010 ◽

Author(s):

Sergei Z. Levendorskii ◽

Jiayao Xie

Keyword(s):

Lévy Processes ◽

Levy Processes ◽

European Options

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