Pricing American currency options in an exponential Lévy model (Q4676167): Difference between revisions
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Revision as of 16:52, 5 March 2024
scientific article; zbMATH DE number 2164318
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American currency options in an exponential Lévy model |
scientific article; zbMATH DE number 2164318 |
Statements
Pricing American currency options in an exponential Lévy model (English)
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3 May 2005
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perpetual options
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exercise boundary
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incomplete markets
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jump diffusion model
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Laplace transform
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stopping times
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overshoot
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