Barrier options pricing with joint distribution of Gaussian process and its maximum
Pingjin Deng, Xiufang Li
| Year of publication: |
September 2017
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|---|---|
| Authors: | Deng, Pingjin ; Li, Xiufang |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 6, p. 1-18
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| Subject: | Barrier option | up-out-call performance option | up-out-put performance option | options pricing | Slepian process | boundary noncrossing probability | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Experiment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902491750042X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011734153