Barrier options and touch- and-out options under regular Lévy processes of exponential type

By Svetlana Boyarchenko, Sergei Levendorskii. 2002

147 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0b5949b143fea55cd87100ed27562711a783215f

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Citations in the corpus

First passage times of a jump diffusion process (2003, background): “TheWiener–Hopf factorization for general jump diffusion processes with two-sided jumps is discussed in [8].”
Fractional Diffusion Models of Option Prices in Markets With Jumps (2007, unknown): “[4,8].”
Spectral estimation of the fractional order of a Lévy process (2010, background): “Boyarchenko and Levendorskĭı (2002) have introduced a general class of regular Lévy processes of exponential type (RLE) which contains all above mentioned particular Lévy models.”
Fast deterministic pricing of options on Lévy driven assets (2002, background): “3 Regular Lévy processes of exponential type The characteristic exponents of the regular Lévy processes of exponential type [7, 8] satisfy (both under historical and equivalent martingale measures from a wide class) the following conditions: For some constants c > 0, ν ∈ (0, 2], ν ′ < ν, α ∈ R, λ− <”
Normal Modified Stable Processes (2001, background): “…(1994), Koponen (1995), Mantegna and Stanley (2000), Boyarchenko and Levendorskii (1999), Boyarchenko and Levendorskii (2000a), Boyarchenko and Levendorskii (2000b), Boyarchenko and Levendorskii (2000c), Boyarchenko and Levendorskii (2000d), Carr, Geman, Madan, and Yor (2001), and Rosinski (2001).”
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (2008, methodology): “A class of models that has been shown to be capable of generating a good fit of observed call and put option price data is formed by the infinite activity Lévy models, such as extended Koponen or KoBoL (Boyarchenko and Levendorskiı̆ 2000), variance gamma (Madan and Milne 1991), normal inverse Gauss”
VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (2009, unknown): “Boyarchenko and the second author [9, 10, 11, 35, 36, 12, 13].”
Wavelet Galerkin pricing of American options on Lévy driven assets (2005, methodology): “We also mention here the extended Koponen family (Boyarchenko and Levendorski 2000) (also referred to as KoBoL (Boyarchenko and Levendorski 2002c), temperated or truncated tempered stable processes or truncated Lévy flights in physics and later used in Carr et al. (2000) under the name of CGMY…”
Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010, methodology): “Next, when λ1 = λ2 the processes in β-family are similar to the tempered stable processes, also called KoBoL processes in [6].”