Efficient evaluation of double-barrier options
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Publication:6633865
DOI10.1142/S0219024924500079MaRDI QIDQ6633865FDOQ6633865
Authors: Svetlana Boyarchenko, Sergei Levendorskiĭ
Publication date: 6 November 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Fourier transformdouble-barrier optionssinh-accelerationLévy processextrema of a Lévy processGaver-Wynn Rho algorithm
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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