Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773)
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scientific article; zbMATH DE number 6646403
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| English | Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models |
scientific article; zbMATH DE number 6646403 |
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Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (English)
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1 November 2016
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Lévy models
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jump processes
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factorization
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Laplace transform
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computational methods
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mathematical finance
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first-passage probabilities
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0.88917196
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0.88144624
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0.8812204
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0.87372714
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0.8730063
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0.8536466
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0.8517283
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0.85142803
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