Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms |
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Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (English)
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16 November 2021
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Hilbert transforms
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Malliavin calculus based expansions
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discretely monitored barrier options
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jump diffusion models with multifactor stochastic volatility
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CEV model
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stochastic volatility models with jumps
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