Barrier options pricing with joint distribution of Gaussian process and its maximum (Q5367498)
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scientific article; zbMATH DE number 6790988
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| English | Barrier options pricing with joint distribution of Gaussian process and its maximum |
scientific article; zbMATH DE number 6790988 |
Statements
BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM (English)
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13 October 2017
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barrier option
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up-out-call performance option
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up-out-put performance option
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options pricing
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Slepian process
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boundary noncrossing probability
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0.79010009765625
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0.7860986590385437
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0.7794291377067566
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0.7752091884613037
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0.7729427814483643
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