The pricing of dual-expiry exotics

DOI10.1088/1469-7688/4/1/009zbMath1405.91596OpenAlexW1984583547MaRDI QIDQ4647600

Peter W. Buchen

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/009

zbMATH Keywords

partial differential equationdual-expiry exotic option pricing

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• Pricing and hedging power options
• Martingales and stochastic integrals in the theory of continuous trading

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