Functional Co-monotony of Processes with Applications to Peacocks and Barrier Options

DOI10.1007/978-3-319-00321-4_15zbMath1291.60066arXiv1209.4262OpenAlexW1828003149MaRDI QIDQ2865115

Gilles Pagès

Publication date: 28 November 2013

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.4262

zbMATH Keywords

fractional Brownian motionbarrier optionsLiouville processantithetic simulation methodAsian optiosco-monotony

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Financial applications of other theories (91G80)

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