Estimating security price derivatives using simulation
Management Science
Perpetual American Options Under Lévy Processes
SIAM Journal on Control and Optimization
On Asian option pricing for NIG Lévy processes
Journal of Computational and Applied Mathematics
Option Pricing Under a Double Exponential Jump Diffusion Model
Management Science
| Hi-index | 7.29 |
In this paper, we overview the pricing of several so-called exotic options in the nowadays quite popular exponential Levy models.