THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (Q3523521): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 12:38, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES |
scientific article |
Statements
THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (English)
0 references
3 September 2008
0 references
occupation times
0 references
path dependent options
0 references
Feynman--Kac formula, Laplace transform
0 references
hedge ratio
0 references