Fast and accurate pricing of barrier options under Lévy processes
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Volume (Year): 13 (2009)
Issue (Month): 4 (September)
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References listed on IDEAS
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- 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.
- 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.
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