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Title:

Analyticity of the Wiener-Hopf Factors and Valuation of Exotic Options in Lévy Models

Document type:
Zeitschriftenaufsatz
Author(s):
Eberlein, E.; Glau, K.; Papapantoleon, A.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener-Hopf factorization, we derive expressions for the analytically extended characteristic function of the supremum and the infimum of a Lévy process. Combined with general results on Fourier methods for option pricing, we provide formulas for the valuation of one-touch options, lookback options and equity default swaps...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Advanced Mathematical Methods for Finance
Year:
2011
Pages contribution:
223-245
Reviewed:
ja
Language:
en
Publisher:
Springer-Verlag
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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