Dale Olivier Roberts
Alexander Novikov
In this article we consider both European and discretely monitored exotic options (Bermudan and discrete barrier) in a market where the underlying asset follows a geometric Lévy process. First, we briefly introduce this extended framework. Then, using the variance gamma model, we show how to price European options and demonstrate the application of the recursive quadrature method to Bermudan and discrete barrier options.
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About the Authors
Dale Olivier Roberts is a Ph.D. student in the Department of Mathematical Sciences at the University of Technology, Sydney (UTS), Australia.
Alexander Novikov is a professor of probability in the same department and Senior Researcher at Steklov Mathematical Institute, Moscow.
Dale Olivier Roberts
Alexander Novikov
Department of Mathematical Sciences
University of Technology, Sydney
P. O. Box 123
Broadway NSW 2007, Australia
dale.o.roberts@uts.edu.au
alex.novikov@uts.edu.au
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