PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
Year of publication: |
2006
|
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Authors: | KUDRYAVTSEV, OLEG ; LEVENDORSKIǏ, SERGEI |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 06, p. 915-949
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | First touch digitals | Normal Inverse Gaussian processes | jump-diffusions | Lévy processes | fast pricing |
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