In this paper we propose a transform method to compute the prices and Greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Levy model with...

A Markov chain with an expanding non-uniform grid matching risk-neutral marginal distributions is constructed. Conditional distributions of the chain are in the variance gamma class with pre-specified skewness and excess kurtosis. Time change and space scale volatilities are calibrated from...

With an interest in keeping the cost of carry at acceptable levels for the expression of a positive or negative view on an equity asset over the longer term, a variation to equity default swaps is introduced that fixes the barrier at a given quantile. The barrier level for the stock price then...