VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (Q4906521)

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scientific article; zbMATH DE number 6139575
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VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
scientific article; zbMATH DE number 6139575

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    VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (English)
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    28 February 2013
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    option pricing
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    double barrier options
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    double-no-touch options
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    Lévy processes
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    variance gamma processes
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    normal inverse Gaussian processes
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    Kuznetsov's \(\beta\)-processes
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    KoBoL processes
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    CGMY model
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    Fast Fourier Transform
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    Carr's randomization
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    Wiener-Hopf factorization
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    Laplace transform
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