A generalization of option pricing to price-limit markets (Q2211004)
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scientific article; zbMATH DE number 7272113
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|---|---|---|---|
| default for all languages | No label defined |
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| English | A generalization of option pricing to price-limit markets |
scientific article; zbMATH DE number 7272113 |
Statements
A generalization of option pricing to price-limit markets (English)
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10 November 2020
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daily price limit
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analytic solution
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local times
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backward equation
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characteristic function
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fast Fourier transform
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0.7941685914993286
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0.7941685914993286
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0.7610318660736084
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0.756158173084259
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