Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Mitya Boyarchenko; Marco de Innocentis and Sergei Levendorskiĭ
| Year of publication: |
2011
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|---|---|
| Authors: | Boyarchenko, Mitya ; Innocentis, Marco de ; Levendorskij, Sergej Z. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 7, p. 1045-1090
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| Subject: | Option pricing; barrier options | first-touch digitals | one-touch options | Lévy processes | Carr's randomization | KoBoL processes | CGMY model | Normal Inverse Gaussian processes | Variance Gamma processes | Wiener-Hopf factorization | asymptotics | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009407673