Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions
Year of publication: |
2020
|
---|---|
Authors: | Catalão, André ; Rosenfeld, Rogério |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 1, p. 1-52
|
Subject: | Non-Gaussian distribution | stochastic processes | first-passage time | moving barrier | Black & Scholes model | cumulant expansion | path integral | Breeden-Litzenberger theorem | relative entropy | Gram-Charlier expansion | Edgeworth expansion | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
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