Tempered stable process, first passage time, and path-dependent option pricing
Young Shin Kim
| Year of publication: |
2019
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|---|---|
| Authors: | Kim, Young Shin |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 1/2, p. 187-215
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| Subject: | Lévy process | Tempered stable process | First passage time | Barrier option pricing | Perpetual American option pricing | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal ; Konferenzbeitrag ; Conference paper |
| Language: | English |
| Other identifiers: | 10.1007/s10287-018-0326-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011993461