Fast and accurate pricing of barrier options under Lévy processes
| Year of publication: |
2009
|
|---|---|
| Authors: | Kudryavtsev, Oleg ; Levendorskiǐ, Sergei |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 4, p. 531-562
|
| Publisher: |
Springer |
| Subject: | Lévy processes | Barrier options | Wiener–Hopf factorization | Numerical methods |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005061372