A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (Q3577151): Difference between revisions
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Revision as of 17:34, 19 April 2024
scientific article
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English | A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes |
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A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (English)
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5 August 2010
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Lévy process
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American options
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American style derivative securities
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barrier options
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martingales
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