Pricing vulnerable path-dependent options using integral transforms (Q344273)
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scientific article; zbMATH DE number 6655204
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| default for all languages | No label defined |
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| English | Pricing vulnerable path-dependent options using integral transforms |
scientific article; zbMATH DE number 6655204 |
Statements
Pricing vulnerable path-dependent options using integral transforms (English)
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22 November 2016
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vulnerable barrier option
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vulnerable double barrier option
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vulnerable lookback option
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method of image
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double Mellin transform
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0.895585298538208
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0.8831980228424072
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0.8662495613098145
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0.792926549911499
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