Lookback option prices under a spectrally negative tempered-stable model
type: Item
instance of: scholarly article
zbMATH Open document ID: 1269.91085
DOI: 10.1142/S021902491350012X
author: Guillaume Coqueret
published in: International Journal of Theoretical and Applied Finance
publication date: 2013-07-24T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 6191016
zbMATH Keywords: pricing lookback options
zbMATH Keywords: discrete monitoring
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: spectrally negative tempered stable process
zbMATH Keywords: Wiener-Hopf factorization
zbMATH Keywords: Lévy process
MaRDI profile type: MaRDI publication profile
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full work available at URL: s021902491350012x
OpenAlex ID: W2025449848
title: Lookback option prices under a spectrally negative tempered-stable model
description: scientific article; zbMATH DE number 6191016