A Multidimensional Hilbert Transform Approach for Barrier Option Pricing and Survival Probability Calculation


This paper proposes a novel approach for pricing discretely monitored multi-asset barrier options and computing joint survival probability in multivariate exponential Levy asset price models. We prove exponential convergence... [ view full abstract ]


  1. Jie Chen (The Chinese University of Hong Kong)
  2. Liaoyuan Fan (The Chinese University of Hong Kong)
  3. Lingfei Li (The Chinese University of Hong Kong)

Topic Areas

Credit Risk , Computational Finance , Options


MO-P-B2 » Option Pricing (14:30 - Monday, 16th July, Beckett 2)

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