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Valuation Of Continuously Monitored Double Barrier Options And Related Securities
Abstract
Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/92059/1/j.1467-9965.2010.00469.x.pd- Article
- CGMY Model
- Fast Fourier Transform
- Carr's Randomization
- Laplace Transform
- Wiener‐Hopf Factorization
- Option Pricing
- Double Barrier Options
- Double‐No‐Touch Options
- LéVy Processes
- Variance Gamma Processes
- Normal Inverse Gaussian Processes
- Kuznetsov's β‐Processes
- KoBoL Processes
- Mathematics
- Finance
- Economics
- Business
- Science