3 papers
math.PR2010
Continuity correction for barrier options in jump-diffusion models
El Hadj Aly Dia, Damien Lamberton
The aim of this paper is to study the continuity correction for barrier options in jump-diusion models. For this purpose, we express the pay-off a barrier option in terms of the ma…
q-fin.CP2010
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
El Hadj Aly Dia, Damien Lamberton
Motivated by the pricing of lookback options in exponential Lévy models, we study the difference between the continuous and discrete supremum of Lévy processes. In particular, we e…
q-fin.CP2010
Error bounds for small jumps of Lévy processes
El Hadj Aly Dia
The pricing of options in exponential Levy models amounts to the computation of expectations of functionals of Levy processes. In many situations, Monte-Carlo methods are used. How…