Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk (Q4526198)
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scientific article; zbMATH DE number 1553367
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk |
scientific article; zbMATH DE number 1553367 |
Statements
Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk (English)
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11 May 2001
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barrier options
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binomial model
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lattice approach
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option valuation
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trinomial model
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weak convergence
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