Publication: Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing
Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing
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Farkas, W., & Mathys, L. (2022). Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing. Frontiers of Mathematical Finance, 1(1), 1–51. https://doi.org/10.3934/fmf.2021001
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The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing literature. First, we provide symmetry and duality relations and derive various characterizations for both European-type and American-type geometric double barrier step options. In particular, we are able to obtain a jump-diffusion disentanglement for the early exercise premium of American-type geometric double barrier step contracts and its maturity-randomized eq
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Farkas, W., & Mathys, L. (2022). Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing. Frontiers of Mathematical Finance, 1(1), 1–51. https://doi.org/10.3934/fmf.2021001
