A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation

This paper proposes a multidimensional Hilbert transform approach for pricing discretely monitored multi-asset barrier options and computing joint survival probability in multivariate exponential Lévy asset price models. We generalize the univariate Hilbert transform method of Feng and Linetsky (Mat...

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Veröffentlicht in:	Review of derivatives research 2022-07, Vol.25 (2), p.189-232
Hauptverfasser:	Chen, Jie, Fan, Liaoyuan, Li, Lingfei, Zhang, Gongqiu
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Derivatives Economics and Finance Efficiency Finance Foreign exchange markets Investments and Securities Methods Monte Carlo simulation Securities prices
Online-Zugang:	Volltext
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