Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (Q4683115)
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scientific article; zbMATH DE number 6939316
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| English | Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model |
scientific article; zbMATH DE number 6939316 |
Statements
Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (English)
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19 September 2018
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barrier options
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default
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CEV model
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JDCEV model
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first passage time
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static hedging
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Bessel processes
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0.8220632076263428
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0.8095369338989258
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0.8025854825973511
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0.793441891670227
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0.7905471324920654
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