Prices of barrier and first-touch digital options in Lévy-driven models, near barrier (Q3107930)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5991973
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Prices of barrier and first-touch digital options in Lévy-driven models, near barrier |
scientific article; zbMATH DE number 5991973 |
Statements
PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (English)
0 references
28 December 2011
0 references
option pricing
0 references
barrier options
0 references
first=touch digitals
0 references
one-touch option
0 references
Lévy processes
0 references
Carr's randomization
0 references
normal inverse Gaussian processes
0 references
Wiener-Hopf factorization
0 references
asymptotics
0 references
0 references
0 references
0 references
0 references
0.8774310946464539
0 references
0.8721327185630798
0 references
0.8321062326431274
0 references
0.8282639980316162
0 references
