Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Year of publication: |
December 2016
|
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Authors: | Asghari, Naser M. ; Mandjes, Michel |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 2, p. 67-100
|
Subject: | exotic options | Lévy processes | fluctuation theory | phase-type distributions | Laplace innovation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Simulation |
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