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THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES - MaRDI portal

THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (Q3523521)

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THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
scientific article

    Statements

    title
    THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES (English)
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    author
    Julien Hugonnier
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    publication date
    3 September 2008
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    zbMATH Keywords
    occupation times
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    path dependent options
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    Feynman--Kac formula, Laplace transform
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    hedge ratio
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    Identifiers

    zbMATH DE Number
    5320088
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