Over the past several years, researchers in economics and finance have used spectral methods to determine the structure of the stochastic discount factor. In this paper, we show that spectral methods can also be used to value an option on private equity. We show that the volatility of the equity...

We present a new model of normal tempered stable (NTS) processes with stochastic correlation for multi-asset option pricing. The model is constructed by extending the constant correlation term in the NTS model to the stochastic correlation making use of the Ornstein-Uhlenbeck process. As the...

We show how to price and replicate a variety of barrier-style claims written on the log price X and quadratic variation <X> of a risky asset. Our framework assumes no arbitrage, frictionless markets and zero interest rates. We model the risky asset as a strictly positive continuous semimartingale...</x>

The construction of martingales with given marginal distributions at given times is a recurrent problem in financial mathematics. From a theoretical point of view, this problem is well-known as necessary and sufficient conditions for the existence of such martingales have been described....