form pricing formula for European options is obtained by employing a modified Gram-Charlier series expansion, known as the …

The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and … derive various characterizations for both European-type and American-type geometric double barrier step options. In … American-type geometric down-and-out step call options under hyper-exponential jump-diffusion models. Lastly, we use the latter …

of LSV models enable controlling for the autocallables price while leaving the fit to European options unaffected …