Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model

DOI10.1007/978-3-030-76829-4_10zbMath1479.91398OpenAlexW3196489015MaRDI QIDQ5014522

O. A. Mendez-Lara, Sergei M. Grudsky

Publication date: 8 December 2021

Published in: Operator Theory and Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-76829-4_10

zbMATH Keywords

Lévy processesToeplitz operatorsWiener-Hopf methodbarrier options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Cites Work

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