Farkas, Walter; Mathys, Ludovic Geometric step options and Lévy models: duality, pides, and semi-analytical pricing. (English) Zbl 1498.91437 Front. Math. Finance 1, No. 1, 1-51 (2022). MSC: 91G20 60G51 45K05 45J05 91G60 PDFBibTeX XMLCite \textit{W. Farkas} and \textit{L. Mathys}, Front. Math. Finance 1, No. 1, 1--51 (2022; Zbl 1498.91437) Full Text: DOI arXiv
Momeya, Romuald Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model. (English) Zbl 1494.91160 Stochastics 90, No. 8, 1238-1275 (2018). MSC: 91G20 49L25 60G51 45K05 PDFBibTeX XMLCite \textit{R. Momeya}, Stochastics 90, No. 8, 1238--1275 (2018; Zbl 1494.91160) Full Text: DOI