Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129)
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scientific article; zbMATH DE number 6508287
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Occupation times of hyper-exponential jump diffusion processes with application to price step options |
scientific article; zbMATH DE number 6508287 |
Statements
Occupation times of hyper-exponential jump diffusion processes with application to price step options (English)
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13 November 2015
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jump diffusion processes
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occupation times
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Laplace transform
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step options
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0.8783938884735107
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0.8666125535964966
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0.8648808002471924
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0.8170955181121826
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