This paper considers the valuation of exotic path-dependent options in L\'evy models, in particular options on the supremum and the infimum of the asset price process. Using the Wiener--Hopf factorization, we derive expressions for the analytically extended characteristic function of the supremum and the infimum of a L\'evy process. Combined with general results on Fourier methods for option pricing, we provide formulas for the valuation of one-touch options, lookback options and equity default swaps in L\'evy models.
CITATION STYLE
Eberlein, E., Glau, K., & Papapantoleon, A. (2011). Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models. In Advanced Mathematical Methods for Finance (pp. 223–245). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-18412-3_8
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