Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Lingfei Li, Vadim Linetsky
| Year of publication: |
October 2015
|
|---|---|
| Authors: | Li, Lingfei ; Linetsky, Vadim |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 4, p. 941-977
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| Subject: | First passage times | Barrier options | Diffusions | Subordination | Eigenfunction expansions | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Black-Scholes-Modell | Black-Scholes model |