Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions
André Catalão, Rogério Rosenfeld
| Year of publication: |
2020
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|---|---|
| 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
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| 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 | Statistische Verteilung | Statistical distribution | Entropie | Entropy | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500053 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012270883