PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (Q2853376): Difference between revisions
From MaRDI portal
Created a new Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 09:48, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS |
scientific article |
Statements
PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (English)
0 references
21 October 2013
0 references
spectral expansion
0 references
option pricing
0 references
step options
0 references
occupation time options
0 references
solvable diffusions
0 references
Green's functions
0 references
Laplace transform inversion
0 references
exponential stopping times
0 references
