Analytical binomial lookback options with double-exponential jumps (Q2510894)
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scientific article; zbMATH DE number 6324694
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Analytical binomial lookback options with double-exponential jumps |
scientific article; zbMATH DE number 6324694 |
Statements
Analytical binomial lookback options with double-exponential jumps (English)
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4 August 2014
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stochastic differential equation
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adjusted binomial tree method
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lookback option
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exponential jumps
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partial integro-differential equation
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viscosity solution
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0.8506365418434143
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0.8238582611083984
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0.8158048391342163
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0.8124223351478577
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0.8102783560752869
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