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Analyticity of the Wiener-Hopf factors and valuation of exotic options in Lévy models
L´ evy processes Wiener–Hopf factorization exotic options
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2010/11/2
This paper considers the valuation of exotic path-dependent options in L´evy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener–Hopf facto...
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
Hedging strategies minimal variance portfolios European Levy market
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2010/12/13
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, ...
Some Control Variates for exotic options
Control Variates exotic options
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2010/12/20
There are no known exact formulas for the valuation of a number of exotic options, and this is particularly true for options under discrete monitoring and for American style options. Therefore, one u...