Levy Models Amenable to Efficient Calculations
Levy Models Amenable to Efficient Calculations
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the evaluation of the Wiener-Hopf factors and various probability distributions (prices of options of several types) in L\'evy models can be developed using only a few …