PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (Q3107930)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER |
scientific article |
Statements
PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (English)
0 references
28 December 2011
0 references
option pricing
0 references
barrier options
0 references
first=touch digitals
0 references
one-touch option
0 references
Lévy processes
0 references
Carr's randomization
0 references
normal inverse Gaussian processes
0 references
Wiener-Hopf factorization
0 references
asymptotics
0 references
0 references
0 references
0 references
0 references
