Pricing vulnerable lookback options using Laplace transforms (Q6581980)
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scientific article; zbMATH DE number 7890866
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| default for all languages | No label defined |
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| English | Pricing vulnerable lookback options using Laplace transforms |
scientific article; zbMATH DE number 7890866 |
Statements
Pricing vulnerable lookback options using Laplace transforms (English)
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1 August 2024
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lookback options
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vulnerable options
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first passage time
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jump-diffusion
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Laplace transforms
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0.8085981607437134
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0.7874210476875305
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0.7850492000579834
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0.7681657671928406
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0.7612370252609253
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