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...

Bilateral Gamma processes generalize the Variance Gamma process and allow to capture more precisely the differences between upward and downward moves of financial returns, notably in terms of jump speed, frequency, and size. Like in most other pure jump models, option pricing under Bilateral...