Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (Q2170289)
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scientific article
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| English | Geometric step options and Lévy models: duality, pides, and semi-analytical pricing |
scientific article |
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Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (English)
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30 August 2022
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geometric step options
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American-type options
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Lévy markets
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jump-diffusion disentanglement
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maturity-randomization
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0.8219287395477295
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0.7741215825080872
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0.7582122683525085
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0.7416480779647827
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