Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach (Q2878964)
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scientific article; zbMATH DE number 6340652
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach |
scientific article; zbMATH DE number 6340652 |
Statements
5 September 2014
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fast Hilbert transform
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time-changed Lévy processes
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barrier options
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dividend-ruin model
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Bermudan options
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0.9243147
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0.9200944
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0.91203994
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0.8982685
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0.8968488
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0.8848064
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0.8831469
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0.8828307
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0.8823848
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0.87939453
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Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach (English)
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