Default probability of American lookback option in a mixed jump-diffusion model
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Publication:2067180
DOI10.1016/j.physa.2019.123242OpenAlexW2980531182WikidataQ126993055 ScholiaQ126993055MaRDI QIDQ2067180
Publication date: 17 January 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2019.123242
Laplace transformfirst passage timeexplicit formuladefault probabilityAmerican lookback optionmixed jump-diffusion modelMJD-fBm
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