Digital barrier option contract with exponential random time

DOI10.1093/IMAMAT/HXS013zbMath1282.91333OpenAlexW2077977689MaRDI QIDQ2874012

Doobae Jun, Hyejin Ku

Publication date: 28 January 2014

Published in: IMA Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e791f31b15fad45998b92bb7b7738973734439f2

zbMATH Keywords

exponential timedigital barrier option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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