PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL (Q2786031)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL |
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PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL (English)
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16 September 2010
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hyper-exponential additive processes
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matrix Wiener-Hopf factorization
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first passage times
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barrier options
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multi-dimensional Laplace transform
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Fourier transform
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sensitivities
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