scientific article; zbMATH DE number 7470516

zbMath1492.91385MaRDI QIDQ5026360

Juan B. R. Otazú, Allan Jonathan da Silva, Jack Baczynski, Estevão Jun. Rosalino

Publication date: 7 February 2022

Full work available at URL: https://mcm-www.jwu.ac.jp/~aikit/AMSA/pdf/abstract/2021/005_2021_top.pdf

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zbMATH Keywords

correlationreflection principletime-changeno-arbitrage pricinghyperplane barriermulti-asset barrier option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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