Tempered stable process, first passage time, and path-dependent option pricing-Reference-Cited by-同舟云学术

Tempered stable process, first passage time, and path-dependent option pricing

Published:2018-06-26 Issue:1-2 Volume:16 Page:187-215
ISSN:1619-697X
Container-title:Computational Management Science
language:en
Short-container-title:Comput Manag Sci

Author:

Kim Young Shin^ORCID

Publisher

Springer Science and Business Media LLC

Subject

Information Systems,Management Information Systems

Link

http://link.springer.com/article/10.1007/s10287-018-0326-9/fulltext.html

Reference27 articles.

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2. Barndorff-Nielsen O (1977) Exponentially decreasing distributions for the logarithm of particle size. Proc R Soc Lond A 353(1674):401–419. ISSN 0080-4630. https://doi.org/10.1098/rspa.1977.0041

3. Barndorff-Nielsen OE, Levendorskii S (2001) Feller processes of normal inverse gaussian type. Quant Finance 1:318–331

4. Barndorff-Nielsen OE, Shephard N (2001) Normal modified stable processes. Economics Series Working Papers from University of Oxford, Department of Economics, 72

5. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81(3):637–654

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