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"Pricing vulnerable path-dependent options using integral transforms."

Junkee Jeon, Ji-Hun Yoon, Myungjoo Kang (2017)

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DOI: 10.1016/J.CAM.2016.09.024

access: closed

type: Journal Article

metadata version: 2020-02-20

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Junkee Jeon, Ji-Hun Yoon, Myungjoo Kang:
Pricing vulnerable path-dependent options using integral transforms. J. Comput. Appl. Math. 313: 259-272 (2017)

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