Monte Carlo method for pricing lookback type options in Lévy models (Q6589448)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Monte Carlo method for pricing lookback type options in Lévy models |
scientific article; zbMATH DE number 7898579
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo method for pricing lookback type options in Lévy models |
scientific article; zbMATH DE number 7898579 |
Statements
Monte Carlo method for pricing lookback type options in Lévy models (English)
0 references
19 August 2024
0 references
Monte Carlo method
0 references
Wiener-Hopf factorization
0 references
Lévy processes
0 references
integral transformations
0 references
option pricing
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
