Download or read book Pricing Path-Dependent Options with Discrete Monitoring Under Time-Changed Levy Processes written by Yuji Umezawa and published by . This book was released on 2014 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a pricing method for path-dependent derivatives with discrete monitoring when an underlying asset price is driven by a time-changed Levy process. The key to our method is to derive a backward recurrence relation for computing the multivariate characteristic functions of the intertemporal joint distribution of time-changed Levy processes. Using the derived representation of the characteristic function we obtain semi-analytical pricing formulas for geometric Asian, forward start, barrier, fader, and lookback options, all of which are discretely monitored.