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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…