Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2008
A transform approach to compute prices and greeks of barrier options driven by a class of Levy processes
Marc Jeannin, Martijn Pistorius
In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplac…
q-fin.PR2008
Pricing and hedging barrier options in a hyper-exponential additive model
Marc Jeannin, Martijn Pistorius
In this paper we develop an algorithm to calculate the prices and Greeks of barrier options in a hyper-exponential additive model with piecewise constant parameters. We obtain an e…