Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options

Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options — Online Supplementary Material

Finite Difference Methods for Option Pricing under Lévy Processes: Wiener-Hopf Factorization Approach

In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorization into finite difference methods for pricing options in Lévy models with jumps. The method is a...

Analyticity of the Wiener–hopf Factors and Valuation of Exotic Options in Lévy Models

This paper considers the valuation of exotic path-dependent options in Lévy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener–Hopf factorization, we derive expressions for the analytically extended characteristic function of the supremum and the infimum of a Lévy process. Combined with general results on Fourier methods for option pricing...

Pricing financial claims contingent upon an underlying asset monitored at discrete times

Exotic option contracts typically specify a contingency upon an underlying asset price monitored at a discrete set of times. Yet, techniques used to price such options routinely assume continuous monitoring leading to often substantial price discrepancies. A brief review of relevant option-pricing methods is presented. The pricing problem is transformed into one of Wiener–Hopf type using a z-tr...

Pricing exotic options under regime switching: A Fourier transform method

This paper considers the valuation of exotic options (i.e. digital, barrier, and lookback options) in a Markovian, regime-switching, Black-Scholes model. In Fourier space, analytical expressions for the option prices are derived via the theory on matrix Wiener-Hopf factorizations. A comparison to numerical alternatives, i.e. the Brownian bridge algorithm or a finite element scheme, demonstrates...