A new type of barrier options: lizard option

DOI10.1007/S10690-014-9193-8zbMATH Open1368.91173OpenAlexW2014871179MaRDI QIDQ2398587FDOQ2398587

Authors: Yasuhiro Kawanishi 

Publication date: 16 August 2017

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9193-8

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zbMATH Keywords

Wiener-Hopf factorizationvariance gamma modelbarrier optionslizard optionLévy processes

Mathematics Subject Classification ID

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

Cites Work

• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Empirical properties of asset returns: stylized facts and statistical issues
• Brownian Excursions and Parisian Barrier Options
• Step options.

Cited In (1)

• A barrier option of American type

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