Pricing discrete path-dependent options under a double exponential jump-diffusion model
Year of publication: |
2013
|
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Authors: | Fuh, Cheng-der ; Luo, Sheng-feng ; Yen, Ju-fang |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 2702-2713
|
Subject: | Barrier options | Lookback options | Jump diffusion models | Continuity correction | Laplace transform | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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