Pricing discretely monitored barrier options and credit default swaps under Lévy processes
We introduce a new, fast and accurate method to calculate prices and sensitivities of European vanilla and digital options under the Variance Gamma model. For near at-the-money options of short maturity, our method is much faster than those based on discretization and truncation of the inverse Fouri...
| Main Author: | |
|---|---|
| Other Authors: | |
| Published: |
University of Leicester
2013
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.572577 |