Barrier options and touch-and-out options under regular Lévy processes of exponential type

DOI10.1214/aoap/1037125863zbMath1015.60036MaRDI QIDQ1872362

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1037125863

zbMATH Keywords

Lévy processes; Wiener-Hopf factorization; European barrier options; touch-and-out options

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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