Pricing European and discretely monitored exotic options under the Levy process framework

Roberts, DO; Novikov, A

Pricing European and discretely monitored exotic options under the Levy process framework

Roberts, DO Novikov, A

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Publisher:: Wolfram Research
Publication Type:: Conference Proceeding
Citation:: International Mathematica Symposium 2005, 2005, pp. 1 - 11
Issue Date:: 2005-01

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Field	Value	Language
dc.contributor.author	Roberts, DO	en_US
dc.contributor.author	Novikov, A https://orcid.org/0000-0001-8529-173X	en_US
dc.contributor.editor	Abbott, P	en_US
dc.contributor.editor	McCarthy, S	en_US
dc.date	2005-08-05	en_US
dc.date.issued	2005-01	en_US
dc.identifier.citation	International Mathematica Symposium 2005, 2005, pp. 1 - 11	en_US
dc.identifier.uri	http://hdl.handle.net/10453/6656
dc.description.abstract	We shall consider both European and idscretely monitored Exotic options (Bermudan and Discrete Barrier) in a market where the underlying asset follows a Geometric Levy process. First we shall briefly introduce this extended framework, then using the Variance Gamma model we shall show how toprice European Options and then we will proceed to demonstrate the application of the recursive quadrature method to Bermudan and Discrete Barrier Options	en_US
dc.publisher	Wolfram Research	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0559879
dc.relation.ispartof	International Mathematica Symposium 2005	en_US
dc.relation.ispartof	International Mathematic Symposium	en_US
dc.title	Pricing European and discretely monitored exotic options under the Levy process framework	en_US
dc.type	Conference Proceeding
utslib.location	Australia	en_US
utslib.location.activity	Perth, Australia	en_US
utslib.for	010406 Stochastic Analysis and Modelling	en_US
utslib.for	150201 Finance	en_US
utslib.for	010205 Financial Mathematics	en_US
dc.location.activity	Perth, Australia	en_US
dc.location.activity	Sydney, Aust
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.place-of-publication	Australia	en_US
pubs.start-date	2005-08-05	en_US

Abstract:

We shall consider both European and idscretely monitored Exotic options (Bermudan and Discrete Barrier) in a market where the underlying asset follows a Geometric Levy process. First we shall briefly introduce this extended framework, then using the Variance Gamma model we shall show how toprice European Options and then we will proceed to demonstrate the application of the recursive quadrature method to Bermudan and Discrete Barrier Options

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http://hdl.handle.net/10453/6656