Early exercise boundary and option prices in Lévy driven models
研究了莱维驱动模型下欧式、美式、障碍期权和利率衍生品的定价与对冲，分析了提前行权边界的渐近行为，并构建了两种快速数值方法。
Pricing and hedging of European. American, barrier options and interest rate derivatives for wide classes of Levy driven models is consideref in situatins where qualitative and quantitative differences between gaussian and Levy modelling are most prominent, and the dependence on the choice of a family of Levy processes is analysed. Asymptotics of option prices near the barrier and expiry are calculated; for American options, two fast numerical methods are constructed. It is shown that for many classes of Levy processes, the early exercise boundary of the American put is separated from the strike by a non-vanishing margin, and as the riskless rate vanishes, the early exercise boundary tends to 0 uniformly over the interval [0, T). Implications for fitting of parameters are discussed.