Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes (Q4682477): Difference between revisions

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Latest revision as of 09:44, 30 July 2024

scientific article; zbMATH DE number 6938623
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English
Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes
scientific article; zbMATH DE number 6938623

    Statements

    Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes (English)
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    18 September 2018
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    time-changed Lévy process
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    intertemporal joint distribution
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    multivariate characteristic function
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    Fourier transform
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    path-dependent option
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