PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (Q2853376): Difference between revisions
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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)
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21 October 2013
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spectral expansion
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option pricing
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step options
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occupation time options
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solvable diffusions
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Green's functions
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Laplace transform inversion
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exponential stopping times
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