An exact analytical solution for discrete barrier options
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Publication:2488504
DOI10.1007/s00780-005-0170-yzbMath1096.91026OpenAlexW2167361310MaRDI QIDQ2488504
Carlo Sgarra, I. David Abrahams, Gianluca Fusai
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-005-0170-y
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10)
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