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

Wolfram Research
Publication Type:
Conference Proceeding
International Mathematica Symposium 2005, 2005, pp. 1 - 11
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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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