Approximation method using black-scholes formula for barrier option pricing under Lévy models
Yuan Li, Kaimon Miyachi, Kenichiro Shiraya, Akira Yamazaki
| Alternative title: | Approximation method using black-scholes formula for path-dependent option pricing under Lévy models |
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| Year of publication: |
June 7, 2021 ; This version : June 7, 2021
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| Authors: | Li, Yuan ; Miyachi, Kaimon ; Shiraya, Kenichiro ; Yamazaki, Akira |
| Publisher: |
[Tokyo] : Center for Advanced Research in Finance |
| Subject: | barrier option | Lévy process | Black-Scholes formula | randomized maturity | Brownian bridge | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Extent: | 1 Online-Ressource (circa 22 Seiten) Illustrationen |
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| Series: | CARF working paper. - Tokyo : Center for Advanced Research in Finance, ZDB-ID 3079869-3. |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Notes: | "The title of the old version posted on March 8, 2019 is "Approximation Method Using Black-Scholes Formula for Path-Dependent Option Pricing under Lévy Models"" - Seite 1, Fußnote |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012807890