Tempered stable process, first passage time, and path-dependent option pricing
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Publication:1722755
DOI10.1007/S10287-018-0326-9OpenAlexW3101063493WikidataQ129649527 ScholiaQ129649527MaRDI QIDQ1722755
Publication date: 18 February 2019
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.09362
first passage timeLévy processbarrier option pricingtempered stable processperpetual American option pricing
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