Convergence of price and sensitivities in Carr's randomization approximation globally and near barrier (Q3074986)
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scientific article; zbMATH DE number 5849816
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| English | Convergence of price and sensitivities in Carr's randomization approximation globally and near barrier |
scientific article; zbMATH DE number 5849816 |
Statements
Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier (English)
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10 February 2011
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greeks
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barrier options
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first-touch digitals
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Lévy processes
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Carr's randomization
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kobol processes
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CGMY model
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normal inverse Gaussian processes
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variance gamma processes
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\(\beta\)-class
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Wiener-Hopf factorization
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asymptotics
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0.8257051706314087
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0.7894100546836853
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0.7851327657699585
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0.7581201791763306
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