Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models (Q4584999)
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scientific article; zbMATH DE number 6932198
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models |
scientific article; zbMATH DE number 6932198 |
Statements
Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models (English)
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5 September 2018
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exotic options
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lookback options
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option pricing
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delta hedging
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greeks
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hyper-exponential jump diffusion
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Lévy processes
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Laplace transform
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