Fast and accurate pricing of barrier options under Lévy processes
| Year of publication: |
2009
|
|---|---|
| Authors: | Kudryavtsev, Oleg ; Levendorskii ̌, Sergei |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 13563397. - Vol. 13.2009, 4, p. 531-562
|