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Pricing airbag option via first passage time approach - MaRDI portal

Pricing airbag option via first passage time approach

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Publication:6592293

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DOI10.1080/14697688.2024.2379919zbMath1542.91399MaRDI QIDQ6592293

Jing Yao, Xiao-Song Qian, Yinghui Dong, Zheng Liu

Publication date: 26 August 2024

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

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45) Jump processes on discrete state spaces (60J74)

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