Jiayao Xie

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

DOWNLOADS

484

SSRN CITATIONS
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1

CROSSREF CITATIONS

13

Scholarly Papers (2)

1.

Pricing of Discretely Sampled Asian Options Under Levy Processes

Number of pages: 39 Posted: 21 Jun 2012
Sergei Levendorskii and Jiayao Xie
Calico Science Consulting and affiliation not provided to SSRN
Downloads 246 (130,776)
Citation 8

Abstract:

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Option pricing, flat iFT method, parabolic iFT method, FFT, refined and enhanced FFT, L\'evy processes, KoBoL, CGMY, BM, Asian options

2.

Fast Pricing and Calculation of Sensitivities of OTM European Options Under Levy Processes

Number of pages: 44 Posted: 14 Apr 2010 Last Revised: 28 Sep 2010
Sergei Levendorskii and Jiayao Xie
Calico Science Consulting and affiliation not provided to SSRN
Downloads 238 (135,121)
Citation 6

Abstract:

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Option pricing, sensitivities, Fast Fourier transform, refined and enhanced Fast Fourier transform, Integration-along-cut method, Levy processes, Normal Inverse Gaussian model, Variance Gamma model, KoBoL, CGMY, out-of-the-money options