Local time and the pricing of path-dependent options
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Publication:2430252
DOI10.1007/s00780-008-0077-5zbMath1224.91160OpenAlexW2119684423MaRDI QIDQ2430252
Publication date: 6 April 2011
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-008-0077-5
permutation testsVolterra integral equation of the first kindlocal time on curvestime-dependent barrier optionsup- and downside volatility
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05)
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Uses Software
Cites Work
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