Barrier options and touch-and-out options under regular Lévy processes of exponential type
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Publication:1872362
DOI10.1214/aoap/1037125863zbMath1015.60036OpenAlexW2056734297MaRDI QIDQ1872362
Svetlana Boyarchenko, Sergei Levendorskii
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1037125863
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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