Default probability of American lookback option in a mixed jump-diffusion model
type: Item
instance of: scholarly article
title: Default probability of American lookback option in a mixed jump-diffusion model
author: Zhaoqiang Yang
published in: Physica A
publication date: 2022-01-17T00:00:00Z
Mathematics Subject Classification ID: 82-XX
zbMATH DE Number: 7458023
zbMATH Keywords: mixed jump-diffusion model
zbMATH Keywords: MJD-fBm
zbMATH Keywords: American lookback option
zbMATH Keywords: first passage time
zbMATH Keywords: Laplace transform
zbMATH Keywords: explicit formula
zbMATH Keywords: default probability
MaRDI profile type: Publication
full work available at URL: j.physa.2019.123242
OpenAlex ID: W2980531182
Wikidata QID: Q126993055
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DOI: 10.1016/J.PHYSA.2019.123242
description: scientific article; zbMATH DE number 7458023