Fast and accurate pricing of barrier options under Lévy processes
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 13 (2009)
Issue (Month): 4 (September)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 60J - - - - - -
- 47A - - - - - -
- 42A - - - - - -
- 91B - - - - - -
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Nina Boyarchenko & Sergei Levendorskiǐ, 2007. "On Errors And Bias Of Fourier Transform Methods In Quadratic Term Structure Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 273-306.
- S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
- Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
- Oleg Kudryavtsev & Sergei Levendorskiǐ, 2006. "Pricing Of First Touch Digitals Under Normal Inverse Gaussian Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(06), pages 915-949.
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