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 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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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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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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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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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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Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2014.02.001 ◽

2014 ◽

Vol 100 ◽

pp. 54-71

Author(s):

Junichi Imai

Keyword(s):

Lévy Process ◽

Levy Process ◽

Bermudan Options

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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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LAN property for a simple Lévy process

Comptes Rendus Mathematique ◽

10.1016/j.crma.2014.08.013 ◽

2014 ◽

Vol 352 (10) ◽

pp. 859-864 ◽

Author(s):

Arturo Kohatsu-Higa ◽

Eulalia Nualart ◽

Ngoc Khue Tran

Keyword(s):

Lévy Process ◽

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On the Resolvent of the Lévy Process with Matrix-Exponential Distribution of Jumps

Ukrainian Mathematical Journal ◽

10.1007/s11253-017-1336-4 ◽

2017 ◽

Vol 68 (12) ◽

pp. 1884-1899

Author(s):

E. V. Karnaukh

Keyword(s):

Exponential Distribution ◽

Lévy Process ◽

Matrix Exponential ◽

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