Asymptotics of European double-barrier option with compound Poisson component

zbMATH Open1267.91066MaRDI QIDQ1943547

C. Palomino-Jiménez, R. Carrada-Herrera, Sergei M. Grudsky, R. Michael Porter

Publication date: 20 March 2013

Published in: Communications in Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cma/1356039031

zbMATH Keywords

asymptoticsLévy processcompound Poisson processBlack-Scholes equationjump processdouble barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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