Work

On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts

Year: 2002

Type: article

Source: Stochastic Processes and their Applications

DOI: 10.1016/s0304-4149(02)00104-7

Authors: Florin Avram, Terence Chan, Miguel Usabel

Institutions: Heriot-Watt University, Universidad Carlos III de Madrid

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2133387016

FWCI: 6.022

Cites: 33

Cited by: 46

Related to: 10