Pricing double-barrier options under a flexible jump diffusion model (Q833566)
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scientific article; zbMATH DE number 5595305
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing double-barrier options under a flexible jump diffusion model |
scientific article; zbMATH DE number 5595305 |
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Pricing double-barrier options under a flexible jump diffusion model (English)
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14 August 2009
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double-barrier options
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jump diffusion
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first passage times
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hyper-exponential distribution
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Euler inversion algorithm
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