We calculate the leading term of asymptotics of the prices of barrier options and first-touch digitals near the barrier for wide classes of Lévy processes with exponential jump densities, including the Variance Gamma model, the KoBoL (a.k.a. CGMY) model and Normal Inverse Gaussian processes. In...

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...

Stochastic models of electricity prices have been used extensively during the last few years to describe prices fluctuations in deregulated power markets. Regime-switching models seem good candidates to capture the main features of electricity prices dynamics as the mean-reversion property as...

A general model for intraday stock price movements is studied. The asset price dynamics is described by a marked point process Y, whose local characteristics (in particular the jump-intensity) depend on some unobservable hidden state variable X. The dynamics of Y and X may be strongly dependent....