1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.MF2020
Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing
Walter Farkas, Ludovic Mathys
The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing litera…
q-fin.MF2019
Valuing Tradeability in Exponential Lévy Models
Ludovic Mathys
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential Lévy type. We consider non-tradeability as a particular type of mar…
q-fin.MF2019★ 1 cited
On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options
Ludovic Mathys
The present article provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models as well as American barrier-type options un…