PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL

DOI10.1142/S0219024910005954zbMath1233.91278arXiv0812.3117OpenAlexW1975663356MaRDI QIDQ2786031

Martijn R. Pistorius, Marc Jeannin

Publication date: 16 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.3117

zbMATH Keywords

Fourier transformfirst passage timessensitivitiesbarrier optionsmatrix Wiener-Hopf factorizationmulti-dimensional Laplace transformhyper-exponential additive processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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