Utilizing frame duality and a FFT-based implementation of density projection we develop a novel and efficient transform method to price Asian options for very general asset dynamics, including regime switching Levy processes and other jump diffusions as well as stochastic volatility models with...

Utilizing frame duality and a FFT-based implementation of density projection we develop a novel and efficient transform method to price Asian options for very general asset dynamics, including regime switching Levy processes and other jump diffusions as well as stochastic volatility models with...

We present an efficient method for robustly pricing discretely monitored barrier and occupation time derivatives under exponential Levy models. This includes ordinary barrier options, as well as (resetting) Parisian options, delayed barrier options (also known as cumulative Parisian or Parasian...

This paper introduces a novel method to price arithmetic Asian options in Levy-driven models, with discrete and continuous averaging, by expanding on the approach of sequential characteristic function recovery. By utilizing frame duality and a FFT-based implementation of density projection, we...

Many financial assets, such as currencies, commodities, and equity stocks, exhibit both jumps and stochastic volatility, which are especially prominent in the market after the financial crisis. Some strategic decision making problems also involve American-style options. In this paper, we develop...