PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS
Publication:2853376
DOI10.1142/S0219024913500271zbMath1282.91323arXiv1302.3771MaRDI QIDQ2853376
Giuseppe Campolieti, R. N. Makarov, Karl Wouterloot
Publication date: 21 October 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.3771
option pricingGreen's functionsspectral expansionLaplace transform inversionstep optionsexponential stopping timesoccupation time optionssolvable diffusions
Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
Cites Work
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