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Intra‐Horizon expected shortfall and risk structure in models with jumps

The present article deals with intra‐horizon risk in models with jumps. Our general understanding of intra‐horizon risk is along the lines of the approach taken in Boudoukh et al. (2004); Rossello…
Wiley (opens in a new tab)

Geometric step options and Lévy models: duality, PIDEs, and semi-analytical pricing

The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing literature. First, we…
Publisher (opens in a new tab)

Valuing tradeability in exponential Lévy models

The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential Levy type. We consider non-tradeability as a particular type of market illiquidity and…
arXiv (opens in a new tab)

American-type exotic options and risk management in Lévy-driven markets

Publisher (opens in a new tab)

Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing

The present article studies geometric step options in exponential Levy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing literature. First, we…
arXiv (opens in a new tab)

On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options

The present article provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models as well as American barrier-type options under the Black &…
arXiv (opens in a new tab)

JDOI variance reduction method and the pricing of American-style options

This article revisits the Diffusion Operator Integral (DOI) variance reduction technique originally proposed in Heath and Platen (2002) and extends its theoretical concept to the pricing of…
Taylor & Francis (opens in a new tab)
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