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"Fast and accurate pricing of barrier options under Lévy processes."

Oleg Kudryavtsev, Sergei Levendorskii (2009)

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DOI: 10.1007/S00780-009-0103-2

access: closed

type: Journal Article

metadata version: 2020-07-22

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  - https://dblp.org/rec/journals/fs/KudryavtsevL09
Oleg Kudryavtsev, Sergei Levendorskii:
Fast and accurate pricing of barrier options under Lévy processes. Finance Stochastics 13(4): 531-562 (2009)

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