Recently, the advantages of conformal deformations of the contours of integration in pricing formulas were demonstrated in the context of wide classes of Levy models and the Heston model. In the present paper we construct efficient conformal deformations of the contours of integration in the...

We present a fast and accurate FFT-based method of computing the prices and sensitivities of barrier options and first-touch digital options on stocks whose log-price follows a Levy process. The numerical results obtained via our approach are demonstrated to be in good agreement with the results...

The fast Fourier transform (FFT) technique is now a standard tool for the numerical calculation of prices of derivative securities. Unfortunately, in many important situations, such as the pricing of contingent claims of European type near expiry, and the pricing of barrier options close to the...

Recently, the advantages of conformal deformations of the contours of integration in pricing formulas were demonstrated in the context of wide classes of L'evy models and the Heston model. In the present paper we construct efficient conformal deformations of the contours of integration in the...

In this article we apply Carr's randomization approximation and the operator form of the Wiener-Hopf method to double barrier options in continuous time. Each step in the resulting backward induction algorithm is solved using a simple iterative procedure that reduces the problem of pricing...

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...

We present a fast and accurate FFT-based method of computing the prices and sensitivities of barrier options and first-touch digital options on stocks whose log-price follows a Lévy process. The numerical results obtained via our approach are demonstrated to be in good agreement with the...