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Pricing European and Discretely Monitored Exotic Options under the Lévy Process Framework
2007
The Mathematica Journal
In this article we consider both European and discretely monitored exotic options (Bermudan and discrete barrier) in a market where the underlying asset follows a geometric Lévy process. First, we briefly introduce this extended framework. Then, using the variance gamma model, we show how to price European options and demonstrate the application of the recursive quadrature method to Bermudan and discrete barrier options.
doi:10.3888/tmj.10.3-4
fatcat:ewge27wd7fernb7hier6yuvp3a