319 citations · 464 across the 28 of their papers we have counts for
Showing 2008 · q-fin.PRShow all
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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…
q-fin.PR2008
On perpetual American put valuation and first-passage in a regime-switching model with jumps
Z. Jiang, M. R. Pistorius
In this paper we consider the problem of pricing a perpetual American put option in an exponential regime-switching Lévy model. For the case of the (dense) class of phase-type jump…