Pricing options is an important activity in quantitative finance for financial engineering purpose. Exotic options are class of options with nonstandard features serving market segments: specific hedging need, tax, accounting, legal, regulatory requirements or offer unique payoffs in particular market circumstances. The introduction of Levy process into pricing procedure is a realistic reflection to the heavy tail property of returns of financial assets which the Wiener process is unable to capture. Exotic options can be priced with Black-Scholes-like formula, solving SDE, solving Black-Scholes-like PDE, tree-based approach, Fourier transform based methods or simulation. As there may not exist a close-form formula for pricing, finding a fast and accurate numerical method for pricing options is more than desirable.
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