VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (Q4906521): Difference between revisions

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+https://doi.org/10.1111/j.1467-9965.2010.00469.x
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+W2318252431
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+Russian and American put options under exponential phase-type Lévy models.
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+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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+PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
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+Randomization and the American Put
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+A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
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+CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION
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+A fast algorithm for computing integrals in function spaces: Financial applications
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+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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+A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
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+On several two-boundary problems for a particular class of Lévy processes
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+First passage times of a jump diffusion process
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+PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
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+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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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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+Pricing double barrier options using Laplace transforms
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+The Distribution of the First Hit for Stable and Asymptotically Stable Walks on an Interval
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+Q4937701
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+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
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