Monte Carlo method for pricing lookback type options in Lévy models
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Publication:6589448
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Cites work
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- scientific article; zbMATH DE number 7631857 (Why is no real title available?)
- scientific article; zbMATH DE number 3090543 (Why is no real title available?)
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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- First passage times of a jump diffusion process
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- Processes of normal inverse Gaussian type
- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- Ultra-fast pricing barrier options and CDSs
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