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- W2914711908 abstract "Barrier options under wide classes of Lévy processes with exponentially decaying jump densities, including the variance gamma model, KoBoL and CGMY models, normal inverse Gaussian processes, and $beta$-class, are studied. The leading term of asymptotics of the option price and the leading term of asymptotics in Carr's randomization approximation to the price are calculated as the price of the underlying approaches the barrier. We prove that the order of asymptotics is the same in both cases and that the asymptotic coefficient in the asymptotic formula for Carr's randomization approximation converges to the asymptotic coefficient for the price as the number of time steps $Nto+infty$. Also, we justify Richardson extrapolation of arbitrary order. Similar results are derived for sensitivities and the leading terms of their asymptotics in Carr's randomization approximation. The convergence of prices and sensitivities is proved in appropriate weighted Hölder spaces." @default.
- W2914711908 created "2019-02-21" @default.
- W2914711908 creator A5082358622 @default.
- W2914711908 date "2011-01-01" @default.
- W2914711908 modified "2023-09-26" @default.
- W2914711908 title "Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier" @default.
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- W2914711908 doi "https://doi.org/10.1137/100788331" @default.
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