THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (Q3523521)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES |
scientific article |
Statements
THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (English)
0 references
3 September 2008
0 references
occupation times
0 references
path dependent options
0 references
Feynman--Kac formula, Laplace transform
0 references
hedge ratio
0 references
