The value of power-related options under spectrally negative Lévy processes
Year of publication: |
2021
|
---|---|
Authors: | Aguilar, Jean-Philippe |
Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 24.2021, 2, p. 173-196
|
Subject: | Lévy process | Stable distribution | Tempered stable distribution | Digital option | Power option | Gap option | Log option | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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