Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Naser M. Asghari and Michel Mandjes
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Asghari, Naser M. ; Mandjes, Michel |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 2, p. 67-100
|
| Subject: | exotic options | Lévy processes | fluctuation theory | phase-type distributions | Laplace innovation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Optionsgeschäft | Option trading | Innovation | Griechenland | Greece |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.315 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656711