Boyarchenko, Mitya; de Innocentis, Marco; Levendorskii, … - 2009
We calculate the leading term of asymptotics of the prices of barrier options and first touch digitals near the barrier for wide classes of Levy processes with exponential jump densities, including Variance Gamma model, KoBoL (a.k.a. CGMY) model and Normal Inverse Gaussian processes. In the case...