PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH

By Liming Feng, Vadim Linetsky. 2008

182 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/cbc2c22cd3305804bee677c1c167a202c2c01022

How researchers see this paper

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In Finance

1. Lingfei Li
2. Vadim Linetsky
3. Rafael Mendoza-Arriaga
4. Jian-wei Gao
5. Wim Schoutens
6. Marceau Decamps
7. Marc J. Goovaerts

In Management Science and Operations Research

1. Lingfei Li
2. Vadim Linetsky

Citations in the corpus

• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (2012, methodology): “hile the time changed Levy models of Carr et al. (2003) lead to fast and ecient option pricing by means of Fourier analysis (see Carr and Madan (1999) for the Fast Fourier Transform methodology and Feng and Linetsky (2008) and Feng and Linetsky (2009) for the closely related Hilbert transform method”