Robust barrier option pricing by frame projection under exponential Lévy dynamics
J. Lars Kirkby
| Year of publication: |
September 2017
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| Authors: | Kirkby, J. Lars |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 3/4, p. 337-386
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| Subject: | Parisian options | occupation time derivatives | Parasian | delayed barrier options | cumulative Parisian options | discretely monitored | step option | barrier options | exotic option pricing | fader option | fast Fouriertransform | knock out | basis | Toeplitz | Levy processes | CGMY | PROJ | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Experiment | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2017.1384701 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011815237