ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS (Q5221481)
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scientific article; zbMATH DE number 7182443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS |
scientific article; zbMATH DE number 7182443 |
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ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS (English)
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26 March 2020
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non-Gaussian distribution
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stochastic processes
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first-passage time
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moving barrier
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Black-Scholes model
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cumulant expansion
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path integral
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Breeden-Litzenberger theorem
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relative entropy
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Gram-Charlier expansion
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Edgeworth expansion
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