METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
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Publication:3191839
DOI10.1142/S0219024914500332zbMath1308.91191OpenAlexW3126037490MaRDI QIDQ3191839
Publication date: 25 September 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024914500332
Fourier transformLévy processesWiener-Hopf factorizationLaplace inversionbarrier optionslookback options
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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