Tempered stable process, first passage time, and path-dependent option pricing (Q1722755): Difference between revisions
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| Property / DOI: 10.1007/s10287-018-0326-9 / rank | |||
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| Property / DOI: 10.1007/S10287-018-0326-9 / rank | |||
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Latest revision as of 05:56, 11 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tempered stable process, first passage time, and path-dependent option pricing |
scientific article |
Statements
Tempered stable process, first passage time, and path-dependent option pricing (English)
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18 February 2019
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Lévy process
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tempered stable process
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first passage time
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barrier option pricing
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perpetual American option pricing
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