Fast and accurate pricing of barrier options under Lévy processes

Oleg Kudryavtsev () and Sergei Levendorskiǐ ()

Finance and Stochastics, 2009, vol. 13, issue 4, 562 pages

Keywords: Lévy processes; Barrier options; Wiener–Hopf factorization; Numerical methods; 60-08; 60J75; 47A68; 42A85; 91B28; G10; G12; G13; C63 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s00780-009-0103-2

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