A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Year of publication: |
2022
|
---|---|
Authors: | Chen, Jie ; Fan, Liaoyuan ; Li, Lingfei ; Zhang, Gongqiu |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 25.2022, 2, p. 189-232
|
Subject: | Barrier options | Hilbert transform | Lévy processes | Sinc approximation | Survival probability | Wahrscheinlichkeitsrechnung | Probability theory | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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