PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS (Q3400131)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS |
scientific article |
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PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS (English)
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5 February 2010
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option pricing
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Greeks
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barrier options
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first-touch digitals
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Lévy processes
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fast Fourier transform
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Carr's randomization
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Kobol processes
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CGMY model
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normal inverse Gaussian processes
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variance gamma processes
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Wiener-Hopf factorization
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