In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of Levy models; the calculations are in the dual space, and the Wiener-Hopf factorization is used. For wide regions in the parameter space, the precision of the...

We prove simple general formulas for expectations of functions of a random walk and its running extremum. Under additional conditions, we derive analytical formulas using the inverse $Z$-transform, the Fourier/Laplace inversion and Wiener-Hopf factorization, and discuss efficient numerical...

We prove simple general formulas for expectations of functions of a Lévy process and its running extremum. Under additional conditions, we derive analytical formulas using the Fourier/Laplace inversion and Wiener-Hopf factorization, and discuss efficient numerical methods for realization of...

In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the evaluation of the Wiener-Hopf factors and various probability distributions (prices of options of several types) in...

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...

Several discounted utility anomalies are explained as rational choices of an agent with standard preferences and stochastic income. We define the term structure of absolute risk aversion and demonstrate that the gain-loss asymmetry is observed for small gains and losses and a general utility...