Exotic options pricing under special Lévy process models: A biased control variate method approach

Finance Research Letters ◽

10.1016/j.frl.2019.07.022 ◽

2020 ◽

Vol 34 ◽

pp. 101249

Author(s):

Jiayi Jia ◽

Yongzeng Lai ◽

Lin Li ◽

Vinna Tan

Keyword(s):

Lévy Process ◽

Levy Process ◽

Process Models ◽

Options Pricing ◽

Exotic Options ◽

Control Variate ◽

Method Approach

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A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

Quantitative Finance ◽

10.1080/14697680903413605 ◽

2010 ◽

Vol 10 (10) ◽

pp. 1115-1136 ◽

Author(s):

Peter Carr ◽

John Crosby

Keyword(s):

Lévy Process ◽

Levy Process ◽

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A european call options pricing model using the infinite pure jump levy process in a fuzzy environment

IEEJ Transactions on Electrical and Electronic Engineering ◽

10.1002/tee.22714 ◽

2018 ◽

Vol 13 (10) ◽

pp. 1468-1482 ◽

Author(s):

Huiming Zhang ◽

Junzo Watada

Keyword(s):

Lévy Process ◽

Levy Process ◽

Options Pricing ◽

Pricing Model ◽

Call Options ◽

Fuzzy Environment

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Diffusion and Lévy process models for dynamic frailty

Statistics for Biology and Health - Survival and Event History Analysis ◽

10.1007/978-0-387-68560-1_11 ◽

2008 ◽

pp. 425-455 ◽

Keyword(s):

Lévy Process ◽

Levy Process ◽

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Pricing Bermudan Options in Lévy Process Models

SIAM Journal on Financial Mathematics ◽

10.1137/120881063 ◽

2013 ◽

Vol 4 (1) ◽

pp. 474-493 ◽

Author(s):

Liming Feng ◽

Xiong Lin

Keyword(s):

Lévy Process ◽

Levy Process ◽

Process Models ◽

Bermudan Options

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A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

Mathematical Finance ◽

10.1111/j.1467-9965.2006.00286.x ◽

2006 ◽

Vol 16 (4) ◽

pp. 613-633 ◽

Author(s):

Ross A. Maller ◽

David H. Solomon ◽

Alex Szimayer

Keyword(s):

Lévy Process ◽

American Option ◽

Levy Process ◽

Process Models ◽

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Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2018.07.004 ◽

2019 ◽

Vol 47 ◽

pp. 602-621 ◽

Author(s):

Ling Zhang ◽

Yongzeng Lai ◽

Shuhua Zhang ◽

Lin Li

Keyword(s):

Brownian Motion ◽

Options Pricing ◽

Exotic Options ◽

Motion Models ◽

Control Variate ◽

Efficient Control

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Lévy Processes and Geometric Lévy Process Models

Series in Quantitative Finance - Option Pricing in Incomplete Markets ◽

10.1142/9781848163485_0002 ◽

2011 ◽

pp. 7-20

Keyword(s):

Lévy Process ◽

Lévy Processes ◽

Levy Processes ◽

Levy Process ◽

Process Models ◽

Geometric Levy Process

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Pricing European and Discretely Monitored Exotic Options under the Lévy Process Framework

The Mathematica Journal ◽

10.3888/tmj.10.3-4 ◽

2007 ◽

Vol 10 (3) ◽

Author(s):

Dale Roberts ◽

Alexander Novikov

Keyword(s):

Lévy Process ◽

Levy Process ◽

Exotic Options ◽

Process Framework

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Analyzing of SHIBOR Time Series: Based on Levy Process Models

Finance ◽

10.12677/fin.2018.86030 ◽

2018 ◽

Vol 08 (06) ◽

pp. 255-264

Author(s):

慧君文

Keyword(s):

Time Series ◽

Lévy Process ◽

Levy Process ◽

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A Modeling of Banks Systemic Risk in a Levy Process Framework

SSRN Electronic Journal ◽

10.2139/ssrn.1773589 ◽

2011 ◽

Author(s):

F. Gideon

Keyword(s):

Systemic Risk ◽

Lévy Process ◽

Levy Process ◽

Process Framework

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