Computing exponential moments of the discrete maximum of a Lévy process and lookback options
| Year of publication: |
2009
|
|---|---|
| Authors: | Feng, Liming ; Linetsky, Vadim |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 4, p. 501-529
|
| Publisher: |
Springer |
| Subject: | Lévy processes | Discrete maximum | Exponential moments | Esscher transform | Discrete lookback options | Fourier transform | Hilbert transform | Sinc expansion |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005061361