Tempered stable process, first passage time, and path-dependent option pricing
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DOI: 10.1007/s10287-018-0326-9
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References listed on IDEAS
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More about this item
Keywords
Lévy process; Tempered stable process; First passage time; Barrier option pricing; Perpetual American option pricing;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
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