METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS

DOI10.1142/S0219024911006644zbMath1229.91304MaRDI QIDQ3107935

Bjorn Eriksson, Martijn R. Pistorius

Publication date: 28 December 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006644

zbMATH Keywords

moments; linear programming; partial barrier option; double barrier option; American corridor option; polynomial jump-diffusion

Mathematics Subject Classification ID

90C08: Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.)

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

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