Pricing step options under the CEV and other solvable diffusion models (Q2853376)
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scientific article; zbMATH DE number 6217601
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| English | Pricing step options under the CEV and other solvable diffusion models |
scientific article; zbMATH DE number 6217601 |
Statements
21 October 2013
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spectral expansion
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option pricing
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step options
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occupation time options
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solvable diffusions
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Green's functions
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Laplace transform inversion
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exponential stopping times
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0.77818745
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0.7518221
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0.7456238
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0.73337746
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0.72659093
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0.72600716
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0.7259208
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Pricing step options under the CEV and other solvable diffusion models (English)
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