Continuity Correction for Barrier Options in Jump-Diffusion Models (Q5388688)
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scientific article; zbMATH DE number 6025785
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuity Correction for Barrier Options in Jump-Diffusion Models |
scientific article; zbMATH DE number 6025785 |
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Continuity Correction for Barrier Options in Jump-Diffusion Models (English)
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19 April 2012
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barrier option
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Bessel process
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continuity correction
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exponential Lévy model
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jump-diffusion
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