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• W3122214056 abstract "This paper proposes a pricing method for path-dependent derivatives with discrete monitoring when an underlying asset price is driven by a time-changed Lévy process. The key to our method is to derive a backward recurrence relation for computing the multivariate characteristic function of the intertemporal joint distribution of the time-changed Lévy process. Using the derived representation of the characteristic function, we obtain semi-analytical pricing formulas for geometric Asian, forward start, barrier, fader and lookback options, all of which are discretely monitored." @default.
• W3122214056 created "2021-02-01" @default.
• W3122214056 creator A5046659887 @default.
• W3122214056 creator A5080487273 @default.
• W3122214056 date "2014-09-22" @default.
• W3122214056 modified "2023-10-18" @default.
• W3122214056 title "Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes" @default.
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• W3122214056 doi "https://doi.org/10.1080/1350486x.2014.960529" @default.
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