Fast deterministic pricing of options on Lévy driven assets

Metadata Label Value
Author(s): Matache, A.-M. (Ana-Maria), von Petersdorff, T., Schwab, C.
Publisher: ETH, Eidgenössische Technische Hochschule Zürich, Seminar für Angewandte Mathematik
Citation:

Matache, A.-M. (Ana-Maria), von Petersdorff, T. and Schwab, C.. Fast deterministic pricing of options on Lévy driven assets. ETH, Eidgenössische Technische Hochschule Zürich, Seminar für Angewandte Mathematik (2002). http://dx.doi.org/10.3929/ethz-a-004402631

Document Type: Reports  
Documents: Text (674.44KB)
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Detailed Information

Metadata Description
Title Fast deterministic pricing of options on Lévy driven assets
Author(s) Matache, A.-M. (Ana-Maria)
von Petersdorff, T.
Schwab, C.
Publication Place Zürich
Publisher ETH, Eidgenössische Technische Hochschule Zürich, Seminar für Angewandte Mathematik
Publication Date 2002
Series Research report / Seminar für Angewandte Mathematik No. 2002-11
Language English
DOI http://dx.doi.org/10.3929/ethz-a-004402631
Subject(s) Mathematical Statistics
Keyword(s) OPTIONS
STOCK EXCHANGE
OPTION PRICING
LÉVY PROCESSES
STOCHASTIC PROCESSES
Organisational Unit Seminar for Applied Mathematics
Online Publication Date 2002
Description File Name MIME Type Size
Text   eth-25711-01.pdf application/pdf 674.44KB
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E-Collection record created: Sat, 19 Apr 2008, 00:26:34 CET