Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes (Q4682477)
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scientific article; zbMATH DE number 6938623
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes |
scientific article; zbMATH DE number 6938623 |
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Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes (English)
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18 September 2018
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time-changed Lévy process
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intertemporal joint distribution
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multivariate characteristic function
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Fourier transform
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path-dependent option
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