Pricing Path-Dependent Options with Jump Risk via Laplace Transforms

By Steven Kou, Giovanni Petrella, Hui Wang. 2005

79 citations recorded by the source corpus.

Subfields: Finance, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/04185698865308e930e9086e564e01de54508bf4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Steven Kou
2. Peter Tankov
3. Rama Cont
4. Hui Wang
5. Peter P. Carr
6. D. Xiu
7. Antonis Papapantoleon
8. Conall O’Sullivan

In Ocean Engineering

1. Steven Kou

Citations in the corpus

• Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007, methodology): “Kou et al. (2005) adapted the method in Carr and Madan (1999), which is based on a change of the order of integration, to price European call and put option via Laplace transforms.”
• Option Pricing Under a Double Exponential Jump Diffusion Model (2004, unknown): “The same proof as that for Lemma 1 in [34], which is based on Carr and Madan [20], leads to the Laplace transform of CT (kc) w.”