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Titel:

PIDEs for Pricing European Options in Lévy Models - A Fourier Approach

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Eberlein, E.; Glau, K.
Abstract:
Our aim is to establish a precise link between prices of European options in Lévy models and PIDEs. We follow a Fourier transform based approach and outline a structural affinity of PIDE and Fourier methods in this context. Our analysis provides a framework that is extendible to more complex problems, such as to PIDEs for pricing barrier options. Since the payoff functions of a wide range of options such as calls or puts, written as functions on the log-price of the underlying, are not in L2 (R)...     »
Jahr:
2011
Sprache:
en
Format:
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