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q-fin.CP2022
Efficient evaluation of double-barrier options and joint cpdf of a Lévy process and its two extrema
Svetlana Boyarchenko, Sergei Levendorskiĭ
In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of Lévy models; the calculations are in the d…
math.PR2022
Lévy models amenable to efficient calculations
Svetlana Boyarchenko, Sergei Levendorskiĭ
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the eva…