Articles by Justin Lars Kirkby
Return to the barrier: option pricing and calibration in foreign exchange markets
The authors investigate return barrier options and how failing to capture the market’s implied volatility surface can lead to mispricing of these options.
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.