Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models
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Publication:4584999
DOI10.1080/1350486X.2013.774985zbMath1396.91736OpenAlexW2043657163MaRDI QIDQ4584999
Markus Hofer, Philipp A. Mayer
Publication date: 5 September 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2013.774985
greeksLaplace transformLévy processesoption pricingexotic optionsdelta hedginglookback optionshyper-exponential jump diffusion
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Related Items (3)
Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps ⋮ Parisian options with jumps: a maturity–excursion randomization approach
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