Articles by J. Lars Kirkby
The CTMC–Heston model: calibration and exotic option pricing with SWIFT
This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.
American and exotic option pricing with jump diffusions and other Lévy processes
This paper develops a general methodology for pricing early exercise and exotic financial options by extending the recently developed PROJ method.
Robust option pricing with characteristic functions and the B-spline order of density projection
This paper extends and refines the method of option pricing by frame projection of risk-neutral densities to incorporate B-splines.