Efficient evaluation of double-barrier options (Q6633865)
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scientific article; zbMATH DE number 7939738
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| English | Efficient evaluation of double-barrier options |
scientific article; zbMATH DE number 7939738 |
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Efficient evaluation of double-barrier options (English)
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6 November 2024
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Lévy process
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extrema of a Lévy process
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double-barrier options
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Fourier transform
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Gaver-Wynn Rho algorithm
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sinh-acceleration
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