On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts

By Florin Avram, Terence Chan, M. Usábel. 2002

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View Paper: https://www.semanticscholar.org/paper/8ade5368c657d2f7a2ac0150d71332c5c1a79227

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Citations in the corpus

Fluctuations of Lévy Processes with Applications (2014, background): “Part (i) was proved(2) in Avram et al. (2004) and part (ii) in Pistorius (2004). The proofs for a general spectrally negative Lévy process however turn out to be quite complicated requiring the need for a theory which is beyond the scope of this text; that is to say Itô’s excursion theory. Doney (20”
Old and New Examples of Scale Functions for Spectrally Negative Levy Processes (2007, background): “In particular it is known that Ex(e −qτ a 1{τ+ a <τ− 0 } ) = W (x) W (q)(a) (4)”
Russian and American put options under exponential phase-type Lévy models (2004, background): “As noticed in [17,9], k∗ yields a time dependent approximation for the optimal excercise boundary of an American put with expiration time T , which may be checked to be asymptotically exact when t → −∞ and also when t → T .”
Special, conjugate and complete scale functions for spectrally negative Lévy processes (2007, background): “For example, in the theory of optimal stopping [1; 2] and [38], in the theory of optimal control [3], [40; 51] and [44], in the theory of queuing and storage models [21] and [4], in the theory of branching processes [10], [29] and [43], in the theory of insurance risk and ruin [15], [34], [33], [20]”
Some remarks on first passage of Levy processes, the American put and pasting principles (2005, unknown): “ar X iv :m at h/ 05 08 48 7v 1 [ m at h. PR ] 2 5 A ug 2 00 5 The Annals of Applied Probability 2005, Vol. 15, No. 3, 2062–2080 DOI: 10.1214/105051605000000377 c© Institute of Mathematical Statistics, 2005”
Wavelet Galerkin pricing of American options on Lévy driven assets (2005, background): “American-style and exotic contracts on assets with Lévy-like price processes have recently been considered (e.g. Avram et al. (2002, 2004) and Boyarchenko and Levendorski (2002b)).”