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arXiv · 0911.0373

Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models

Ernst Eberlein·Kathrin Glau·Antonis Papapantoleon
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Abstract

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.

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Ernst Eberlein, Kathrin Glau, Antonis Papapantoleon. 2009-11-02. Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models. https://arxiv.org/abs/0911.0373

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