We present a new efficient and robust framework for European option pricing under continuous time asset models from the family of exponential semimartingale processes. We introduce B-spline interpolation theory to derivative pricing to provide an accurate closed-form representation of the option...

We derive a new, efficient closed-form formula approximating the price of discrete look-back options, whose underlying asset price is driven by an exponential semi-martingale process including (jump) diffusions, Levy models, affine processes and other models. The derivation of our pricing...