Pricing and hedging barrier options in a hyper-exponential additive model (Q2786031)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Pricing and hedging barrier options in a hyper-exponential additive model |
scientific article; zbMATH DE number 5786206
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging barrier options in a hyper-exponential additive model |
scientific article; zbMATH DE number 5786206 |
Statements
16 September 2010
0 references
hyper-exponential additive processes
0 references
matrix Wiener-Hopf factorization
0 references
first passage times
0 references
barrier options
0 references
multi-dimensional Laplace transform
0 references
Fourier transform
0 references
sensitivities
0 references
0 references
0 references
0 references
0 references
Pricing and hedging barrier options in a hyper-exponential additive model (English)
0 references
