Moments of maximum of Lévy processes : application to barrier and lookback option pricing
Year of publication: |
March 30, 2022
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Authors: | Li, Yuan ; Shiraya, Kenichiro ; Umezawa, Yuji ; Yamazaki, Akira |
Publisher: |
[Tokyo] : Center for Advanced Research in Finance |
Subject: | Lévy processes | moments of maximum | Wiener-Hopf factorization | Monte Carlo simulation | discretization error | barrier option | lookback option | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Experiment | Optionsgeschäft | Option trading |
Extent: | 1 Online-Ressource (circa 25 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 |
Source: | ECONIS - Online Catalogue of the ZBW |
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