Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
Yuji Umezawa & Akira Yamazaki
| Year of publication: |
2015
|
|---|---|
| Authors: | Umezawa, Yuji ; Yamazaki, Akira |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 1/2, p. 133-161
|
| Subject: | Time-changed Lévy process | intertemporal joint distribution | multivariate characteristic function | Fourier transform | path-dependent option | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| 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/10010505145