Default probability of American lookback option in a mixed jump-diffusion model (Q2067180)
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scientific article; zbMATH DE number 7458023
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Default probability of American lookback option in a mixed jump-diffusion model |
scientific article; zbMATH DE number 7458023 |
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Default probability of American lookback option in a mixed jump-diffusion model (English)
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17 January 2022
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mixed jump-diffusion model
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MJD-fBm
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American lookback option
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first passage time
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Laplace transform
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explicit formula
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default probability
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