VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (Q4906521): Difference between revisions
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scientific article; zbMATH DE number 6139575
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES |
scientific article; zbMATH DE number 6139575 |
Statements
VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (English)
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28 February 2013
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option pricing
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double barrier options
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double-no-touch options
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Lévy processes
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variance gamma processes
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normal inverse Gaussian processes
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Kuznetsov's \(\beta\)-processes
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KoBoL processes
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CGMY model
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Fast Fourier Transform
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Carr's randomization
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Wiener-Hopf factorization
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Laplace transform
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