Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities-Reference-Cited by-同舟云学术

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Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

Published:2020-02-19 Issue:6 Volume:20 Page:899-918
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Phelan C. E.¹^ORCID,Marazzina D.²^ORCID,Germano G.¹³^ORCID

Affiliation:

1. Financial Computing and Analytics Group, Department of Computer Science, University College London, Gower Street, London, WC1E 6BT, UK

2. Dipartimento di Matematica, Politecnico di Milano, Via E. Bonardi 9, 20133 Milano, Italy

3. Systemic Risk Centre, London School of Economics and Political Science London, Houghton Street, London WC2A 2AE, UK

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1718192

Reference51 articles.

1. Numerical inversion of probability generating functions

2. Numerical Inversion of Laplace Transforms of Probability Distributions

3. Some Formulae for a New Type of Path-Dependent Option

4. Discrete extrema of Brownian motion and pricing of exotic options

5. A note on the α-quantile option

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1. Synchronization analysis between exchange rates on the basis of purchasing power parity using the Hilbert transform;The North American Journal of Economics and Finance;2024-09

2. Numerical approximation and fast implementation to a generalized distributed-order time-fractional option pricing model;Chaos, Solitons & Fractals;2023-05

3. Efficient and Robust Combinatorial Option Pricing Algorithms on the Trinomial Lattice for Polynomial and Barrier Options;Mathematical Problems in Engineering;2022-05-21

4. Pricing Discretely Monitored Barrier Options under Markov Processes through Markov Chain Approximation;The Journal of Derivatives;2020-11-10

5. Efficient Pricing of Barrier Options on High Volatility Assets Using Subset Simulation;SSRN Electronic Journal;2018

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