On a new approach to calculating expectations for option pricing

Journal of Applied Probability

Volumn 39, Issue 4, 2002, Pages 889-895

  Borovkov, K ^a   Novikov, A ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Barrier option; Change of measure; Moment generating functions; Option pricing

Indexed keywords

EID: 0037003306     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1037816027     Document Type: Article

References (8)

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