Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps (Q5363115)
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scientific article; zbMATH DE number 6786429
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps |
scientific article; zbMATH DE number 6786429 |
Statements
Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps (English)
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5 October 2017
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Parisian options
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Laplace transform
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double-exponential model
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one-sided exit problem
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jump-diffusion model
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