A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
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Publication:3577151
DOI10.1080/14697680902896057zbMath1192.91177arXiv0812.3128OpenAlexW2116921868MaRDI QIDQ3577151
Marc Jeannin, Martijn R. Pistorius
Publication date: 5 August 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0812.3128
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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