Continuity Correction for Barrier Options in Jump-Diffusion Models (Q5388688): Difference between revisions
From MaRDI portal
Set profile property. |
Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3098486936 / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1012.3882 / rank | |||
Normal rank | |||
Latest revision as of 01:52, 20 April 2024
scientific article; zbMATH DE number 6025785
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuity Correction for Barrier Options in Jump-Diffusion Models |
scientific article; zbMATH DE number 6025785 |
Statements
Continuity Correction for Barrier Options in Jump-Diffusion Models (English)
0 references
19 April 2012
0 references
barrier option
0 references
Bessel process
0 references
continuity correction
0 references
exponential Lévy model
0 references
jump-diffusion
0 references
