Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
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
|
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 | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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