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

@article{Farkas2020GeometricSO,
  title={Geometric Step Options with Jumps: Parity Relations, PIDEs, and Semi-Analytical Pricing},
  author={Walter Farkas and Ludovic Mathys},
  journal={Risk Management eJournal},
  year={2020}
}
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 provide symmetry and parity relations and derive various characterizations for both European-type and American-type geometric double barrier step options. In particular, we are able to obtain a jump-diffusion disentanglement for the early exercise premium of American-type geometric double barrier step… Expand
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