Repository landing page

We are not able to resolve this OAI Identifier to the repository landing page. If you are the repository manager for this record, please head to the Dashboard and adjust the settings.

Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

Abstract

We present new numerical schemes for pricing perpetual Bermudan and American options as well as α-quantile options. This includes a new direct calculation of the optimal exercise boundary for early-exercise options. Our approach is based on the Spitzer identities for general Lévy processes and on the Wiener–Hopf method. Our direct calculation of the price of α-quantile options combines for the first time the Dassios–Port–Wendel identity and the Spitzer identities for the extrema of processes. Our results show that the new pricing methods provide excellent error convergence with respect to computational time when implemented with a range of Lévy processes

Similar works

Full text

thumbnail-image

Archivio istituzionale della ricerca - Politecnico di Milano

redirect
Last time updated on 10/04/2020

Having an issue?

Is data on this page outdated, violates copyrights or anything else? Report the problem now and we will take corresponding actions after reviewing your request.