Time changes, Laplace transforms and path-dependent options

DOI10.1023/A:1011261429120zbMath0986.91019OpenAlexW1589075294MaRDI QIDQ5948630

Hélyette Geman

Publication date: 16 June 2002

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011261429120

zbMATH Keywords

Laplace transformMonte Carlo simulationspath-dependent optionsstochastic time changes

Mathematics Subject Classification ID

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