PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (Q2853376)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS |
scientific article |
Statements
PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (English)
0 references
21 October 2013
0 references
spectral expansion
0 references
option pricing
0 references
step options
0 references
occupation time options
0 references
solvable diffusions
0 references
Green's functions
0 references
Laplace transform inversion
0 references
exponential stopping times
0 references
0 references
0 references
