Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier (Q3074986)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier |
scientific article |
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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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