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Time Changes, Laplace Transforms and Path-Dependent Options

✍ Scribed by Hélyette Geman


Book ID
110299139
Publisher
Springer US
Year
2001
Tongue
English
Weight
89 KB
Volume
17
Category
Article
ISSN
1572-9974

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Path-dependent currency options with mea
✍ Hoi Ying Wong; Ka Yung Lau 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 330 KB

## Abstract This paper develops a path‐dependent currency option pricing framework in which the exchange rate follows a mean‐reverting lognormal process. Analytical solutions are derived for barrier options with a constant barrier, lookback options, and turbo warrants. As the analytical solutions a