Connecting discrete and continuous lookback or hindsight options in exponential Lévy models (Q3111060): 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 10:43, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Connecting discrete and continuous lookback or hindsight options in exponential Lévy models |
scientific article |
Statements
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models (English)
0 references
17 January 2012
0 references
exponential Lévy model
0 references
discretization error
0 references
lookback option
0 references
hindsight option
0 references
continuity correction
0 references