Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204)
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scientific article; zbMATH DE number 7282754
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities |
scientific article; zbMATH DE number 7282754 |
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Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (English)
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7 December 2020
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Lévy processes
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Spitzer identities
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hindsight options
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perpetual Bermudan options
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perpetual American options
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