ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS

DOI10.1142/S0219024920500053zbMath1437.91426arXiv1804.07852OpenAlexW2996026101WikidataQ126548933 ScholiaQ126548933MaRDI QIDQ5221481

Rogerio Rosenfeld, André Catalão

Publication date: 26 March 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.07852

zbMATH Keywords

relative entropypath integralstochastic processesBlack-Scholes modelEdgeworth expansioncumulant expansionfirst-passage timemoving barriernon-Gaussian distributionGram-Charlier expansionBreeden-Litzenberger theorem

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

Related Items (1)

A Hamiltonian approach to floating barrier option pricing

Cites Work

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