CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512)
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scientific article; zbMATH DE number 6139566
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES |
scientific article; zbMATH DE number 6139566 |
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CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (English)
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28 February 2013
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pricing algorithms
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barrier options
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continuous-time Markov chain
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local volatility models with jumps
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Lévy processes
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normal inverse Gaussian process
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variance gamma process
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CGMY model
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Sato processes
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local Lévy processes
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