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Persistent link: https://www.econbiz.de/10005613169
:178–201, 1994 ) pairs each additive and consistent single-valued mechanism with a corresponding monotonic and consistent rationing …
Persistent link: https://www.econbiz.de/10010848009
This paper focuses on numerical evaluation techniques related to fluctuation theory for Lévy processes; they can be applied in various domains, e.g., in finance in the pricing of so-called barrier options. More specifically, with $$\bar{X}_t:= \sup _{0\le s\le t} X_s$$ denoting the running...
Persistent link: https://www.econbiz.de/10010847682
Persistent link: https://www.econbiz.de/10008467045