We study a stochastic version of Fudenberg and Tirole's (1985) preemption game to analyze the effects of jumps in the underlying uncertainty on equilibrium strategies. Two firms contemplate entering a new market where the demand follows a jump-diffusion process. Firms differ is the sunk costs of...

We develop a new method for pricing options on discretely sampled arithmetic average in exponential L'evy models. The main idea is the reduction to a backward induction procedure for the difference W_n between the Asian option with averaging over n sampling periods and the price of the European...

We consider discretely monitored barrier options under Levy models, including single and double barrier options and first touch digitals, as well as CDS and defaultable bonds. At each step of backward induction, we use piece-wise polynomial interpolation and an efficient version of the Fourier...

For prices of options with barrier and lookback features, defaultable bonds and CDS, and probability distribution functions in Levy models, joint probability distributions of the process and its supremum or/and infimum, one can derive explicit analytical formulas in terms of the Laplace...

Recently, the advantages of conformal deformations of the contours of integration in pricing formulas were demonstrated in the context of wide classes of Levy models and the Heston model. In the present paper we construct efficient conformal deformations of the contours of integration in the...

Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around the line of integration in the complex plane.The Fourier transform techniques reduces calculation of probability distributions and option...

We suggest a general scheme for improvement of FT-pricing formulas for European option and give efficient recommendations for the choice of the parameters of the numerical scheme, which allow for very accurate and fast calculations. The efficiency of the method stems from the properties of...

We construct very fast and accurate methods of approximate Laplace inversion, calculation of the Wiener-Hopf factors for wide classes of Levy processes with exponentially decaying Levy densities, and pricing lookback options. In all cases, we use appropriate conformal changes of variables, which...

We construct a new approximate method for pricing barrier options and CDSs. In many cases, prices of barrier options and CDSs of maturities one year and more, at the log-distance 0.1 from the barrier and farther, for 8 spots, can be calculated adding up 4-16 fairly simple terms, with relative...

We develop a general simple methodology for very fast and accurate evaluation of special functions of several classes. We use a family of fractional-parabolic deformations of the contours of integration to appropriate Riemann surfaces, make the corresponding conformal changes of variables and...