APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
type: Item
instance of: scholarly article
title: APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
zbMATH Open document ID: 1206.91079
DOI: 10.1142/S0219024910005681
author: John Crosby
author: Nolwenn le Saux
author: Aleksandar Mijatović
published in: International Journal of Theoretical and Applied Finance
publication date: 2010-05-19T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 5709675
zbMATH Keywords: Lévy process
zbMATH Keywords: pricing of derivative securities
zbMATH Keywords: hyperexponential jump-diffusion process
zbMATH Keywords: CGMY/KoBol model
zbMATH Keywords: barrier options
MaRDI profile type: Publication
cites work: Q5558293
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cites work: The Variance Gamma Process and Option Pricing
cites work: Q4937701
cites work: ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
full work available at URL: s0219024910005681
OpenAlex ID: W3122846793
description: scientific article