Asymptotics of European double-barrier option with compound Poisson component (Q1943547)
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scientific article; zbMATH DE number 6147159
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotics of European double-barrier option with compound Poisson component |
scientific article; zbMATH DE number 6147159 |
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Asymptotics of European double-barrier option with compound Poisson component (English)
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20 March 2013
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double barrier option
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Lévy process
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compound Poisson process
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jump process
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Black-Scholes equation
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asymptotics
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