The Wiener-Hopf Factorization for Pricing Options Made Easy

被引：0

作者：

Kudryavtsev, Oleg ^{[1
]}

Luzhetskaya, Praskoviya ^{[2
]}

机构：

[1] Russian Customs Acad, Dept Informat & Informat Customs Technol, Rostov Branch, Budennovskiy 20, Rostov Na Donu 344002, Russia

[2] Don State Tech Univ, Dept Math & Informat, Gagarin 1, Rostov Na Donu 344000, Russia

来源：

ENGINEERING LETTERS | 2020年 / 28卷 / 04期

基金：

俄罗斯基础研究基金会;

关键词：

Wiener-Hopf factorization; numerical methods; option pricing; Levy processes; JUMP-DIFFUSION; DIGITAL OPTIONS; LEVY; RANDOMIZATION; BARRIER; SENSITIVITIES; CALIBRATION; MODELS;

D O I：

暂无

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

The paper suggests a new approach to pricing barrier options under pure non-Gaussian L ' evy processes with jumps of finite variation. The key idea behind the method is to represent the process under consideration as a difference between subordinators (increasing Levy processes). Such splitting rule applied to the process at exponentially distributed randomized time points gives us the possibility to find the option price by analytically solving simple Wiener-Hopf equations.

引用

页码：1310 / 1317

页数：8

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