Piecewise linear double barrier options
Year of publication: |
2022
|
---|---|
Authors: | Lee, Hangsuck ; Ha, Hongjun ; Lee, Minha |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 42.2022, 1, p. 125-151
|
Subject: | Brownian motion of piecewise constant drift | double barrier option | drift refraction | Esscher transform | piecewise linear double barrier | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
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