A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
Oleg Kudryavtsev
| Year of publication: |
2024
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|---|---|
| Authors: | Kudryavtsev, Oleg |
| Subject: | Computational finance | Lévy processes | Numerical methods | Option pricing | Wiener-Hopf factorization | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Numerisches Verfahren | Numerical analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-024-00519-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014636822