Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (Q4683115)
From MaRDI portal
scientific article; zbMATH DE number 6939316
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model |
scientific article; zbMATH DE number 6939316 |
Statements
Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (English)
0 references
19 September 2018
0 references
barrier options
0 references
default
0 references
CEV model
0 references
JDCEV model
0 references
first passage time
0 references
static hedging
0 references
Bessel processes
0 references
0 references
0 references
