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

2010 ◽  
Vol 10 (10) ◽  
pp. 1115-1136 ◽  
Author(s):  
Peter Carr ◽  
John Crosby
Keyword(s):  
Lévy Process ◽  
Levy Process ◽  
Process Models

Pricing Bermudan Options in Lévy Process Models

2013 ◽  
Vol 4 (1) ◽  
pp. 474-493 ◽  
Author(s):  
Liming Feng ◽  
Xiong Lin
Keyword(s):  
Lévy Process ◽  
Levy Process ◽  
Process Models ◽  
Bermudan Options

A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

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 ◽  
Option Prices

scholarly journals LAN property for a simple Lévy process

2014 ◽  
Vol 352 (10) ◽  
pp. 859-864 ◽  
Author(s):  
Arturo Kohatsu-Higa ◽  
Eulalia Nualart ◽  
Ngoc Khue Tran
Keyword(s):  
Lévy Process ◽  
Levy Process

scholarly journals On the optimal dividend problem for a spectrally negative Lévy process

2007 ◽  
Vol 17 (1) ◽  
pp. 156-180 ◽  
Author(s):  
Florin Avram ◽  
Zbigniew Palmowski ◽  
Martijn R. Pistorius
Keyword(s):  
Lévy Process ◽  
Levy Process ◽  
Spectrally Negative Lévy Process ◽  
Optimal Dividend
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