Double-barrier option pricing under the hyper-exponential jump diffusion model (Q5014522)
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scientific article; zbMATH DE number 7440860
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| English | Double-barrier option pricing under the hyper-exponential jump diffusion model |
scientific article; zbMATH DE number 7440860 |
Statements
Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model (English)
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8 December 2021
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Lévy processes
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barrier options
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Toeplitz operators
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Wiener-Hopf method
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0.8727596998214722
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0.8714879751205444
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0.8648881316184998
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0.8278571367263794
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