Double-barrier option pricing under the hyper-exponential jump diffusion model
DOI10.1007/978-3-030-76829-4_10zbMATH Open1479.91398OpenAlexW3196489015MaRDI QIDQ5014522FDOQ5014522
Authors: O. A. Mendez-Lara, S. M. Grudsky 
Publication date: 8 December 2021
Published in: Operator Theory and Harmonic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-76829-4_10
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Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
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Cited In (9)
- Barrier option pricing under the 2-hypergeometric stochastic volatility model
- Pricing and hedging barrier options in a hyper-exponential additive model
- A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries
- Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
- Double-barrier option pricing equations under extended geometric Brownian motion with bankruptcy risk
- Pricing double-barrier options under a flexible jump diffusion model
- Double barrier options under Lévy processes
- Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
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