Levy Models Amenable to Efficient Calculations

  title={Levy Models Amenable to Efficient Calculations},
  author={Svetlana Boyarchenko and Sergei Levendorskiui},
  journal={SSRN Electronic Journal},
. In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the evaluation of the Wiener-Hopf factors and various probability distributions (prices of options of several types) in L´evy models can be developed using only a few general properties of the characteristic exponent ψ . Essentially all popular L´evy processes enjoy these properties. In the present paper, we define classes of… 

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