A new type of barrier options: lizard option (Q2398587)
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scientific article; zbMATH DE number 6760877
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| default for all languages | No label defined |
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| English | A new type of barrier options: lizard option |
scientific article; zbMATH DE number 6760877 |
Statements
A new type of barrier options: lizard option (English)
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16 August 2017
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barrier options
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Lévy processes
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variance gamma model
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Wiener-Hopf factorization
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lizard option
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0.723335862159729
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0.704109251499176
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0.6980383396148682
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0.6973711848258972
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0.6955984234809875
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