Robust barrier option pricing by frame projection under exponential Lévy dynamics (Q5373910)
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scientific article; zbMATH DE number 6856770
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust barrier option pricing by frame projection under exponential Lévy dynamics |
scientific article; zbMATH DE number 6856770 |
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Robust barrier option pricing by frame projection under exponential Lévy dynamics (English)
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6 April 2018
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Parisian options
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occupation time derivatives
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Parisian
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delayed barrier options
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cumulative Parisian options
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discretely monitored
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step option
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barrier options
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exotic option pricing
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fader option
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fast Fourier transform
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knock out
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Toeplitz
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Lévy processes
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CGMY
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PROJ
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