no code implementations • 26 Feb 2024 • Svetlana Boyarchenko, Sergei Levendorskiĭ
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models".
no code implementations • 30 Oct 2022 • Svetlana Boyarchenko, Sergei Levendorskiĭ
In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of L\'evy models; the calculations are in the dual space, and the Wiener-Hopf factorization is used.
no code implementations • 17 Sep 2021 • Svetlana Boyarchenko, Sergei Levendorskiĭ, J. Lars Kirkby, Zhenyu Cui
We clarify the relations among different Fourier-based approaches to option pricing, and improve the B-spline probability density projection method using the sinh-acceleration technique.
