Barrier Options Under Lévy Processes: A Simple Short-Cut
نویسندگان
چکیده
منابع مشابه
Fast and accurate pricing of barrier options under Lévy processes
We suggest two new fast and accurate methods, Fast Wiener-Hopf method (FWH-method) and Iterative Wiener-Hopf method (IWH-method), for pricing barrier options for a wide class of Lévy processes. Both methods use the Wiener-Hopf factorization and Fast Fourier Transform algorithm. Using an accurate albeit relatively slow finite-difference algorithm developed in Levendorskǐi et al (2006) (FDS-metho...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2239427