Time changes, Laplace transforms and path-dependent options

DOI10.1023/A:1011261429120MaRDI QIDQ5948630zbMATH OpenOpenAlexFDO

Authors Helyette Geman

Publication date 16 June 2002

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1011261429120

zbMATH Keywords

Laplace transformMonte Carlo simulationspath-dependent optionsstochastic time changes

Mathematics Subject Classification ID

General theory of stochastic processes (60G07)

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• First‐Order Autoregressive Processes with Heterogeneous Persistence
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