PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS (Q3400131): Difference between revisions

@@ Property / author @@
-Sergei Levendorskii
@@ Property / author: Sergei Levendorskii / rank @@
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@@ Property / author @@
+Sergei Levendorskii
@@ Property / author: Sergei Levendorskii / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
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@@ Property / cites work @@
+Perpetual American Options Under Lévy Processes
@@ Property / cites work: Perpetual American Options Under Lévy Processes / rank @@
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+Irreversible decisions under uncertainty. Optimal stopping made easy
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+A Continuity Correction for Discrete Barrier Options
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+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Q3907885
@@ Property / cites work: Q3907885 / rank @@
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+Fluctuation identities for lévy processes and splitting at the maximum
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+PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
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+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
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+PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
@@ Property / cites work: PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES / rank @@
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+Option pricing when underlying stock returns are discontinuous
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+Q4328337
@@ Property / cites work: Q4328337 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024909005610
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@@ Property / OpenAlex ID @@
+W3123374319
@@ Property / OpenAlex ID: W3123374319 / rank @@
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