A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Jie Chen, Liaoyuan Fan, Lingfei Li, Gongqiu Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Jie ; Fan, Liaoyuan ; Li, Lingfei ; Zhang, Gongqiu |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 25.2022, 2, p. 189-232
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| Subject: | Barrier options | Hilbert transform | Lévy processes | Sinc approximation | Survival probability | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-022-09186-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013457614