ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM (Q3022098): Difference between revisions
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: A Jump-Diffusion Model for Option Pricing / rank | |||
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| Property / cites work: Option pricing when underlying stock returns are discontinuous / rank | |||
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| Property / cites work: Q5287558 / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024904002402 / rank | |||
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Latest revision as of 09:33, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM |
scientific article |
Statements
ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM (English)
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22 June 2005
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jump-diffusion processes
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exponential jumps
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volatility smile
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option pricing
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path-dependent options
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double barrier options
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double touch options
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Laplace transform
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