Fast and accurate pricing of barrier options under Lévy processes
Oleg Kudryavtsev; Sergei Levendorskiǐ
| Year of publication: |
2009
|
|---|---|
| Authors: | Kudryavtsev, Oleg ; Levendorskiǐ, Sergei |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 13.2009, 4, p. 531-562
|
| Subject: | Wiener-Hopf factorization | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Numerisches Verfahren | Numerical analysis | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003899529