Barrier options and touch-and-out options under regular Lévy processes of exponential type

Annals of Applied Probability

Volumn 12, Issue 4, 2002, Pages 1261-1298

  Boyarchenko, Svetlana ^a   Levendorskiǐ, Sergei ^b  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^b ROSTOV STATE UNIVERSITY OF ECONOMICS   (Russian Federation)

Author keywords

European barrier options; L vy processes; Touch and out options; Wiener Hopf factorization

Indexed keywords

EID: 0036439755     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1037125863     Document Type: Article

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