Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models |
scientific article |
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Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (English)
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1 November 2016
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Lévy models
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jump processes
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factorization
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Laplace transform
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computational methods
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mathematical finance
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first-passage probabilities
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