Pricing double-barrier options under a flexible jump diffusion model (Q833566)
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scientific article; zbMATH DE number 5595305
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Pricing double-barrier options under a flexible jump diffusion model |
scientific article; zbMATH DE number 5595305 |
Statements
Pricing double-barrier options under a flexible jump diffusion model (English)
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14 August 2009
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double-barrier options
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jump diffusion
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first passage times
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hyper-exponential distribution
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Euler inversion algorithm
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0.8714879751205444
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0.8711608648300171
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0.8465783596038818
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0.8296751379966736
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0.8219963908195496
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