First-touch digitals

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
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Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 7 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 165-183 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:An overviewExact pricing formulas for first-touch digitalsThe Wiener-Hopf factorization with a parameterFormulas for the factors revisitedAnalytic continuation of the factors w.r.t. λPrice near the barrierAsymptotics as x → +0, and τ > 0 is fixedMain TheoremNumerical exampleProof of Theorem 7.4Asymptotics as x → +0 and τ → +∞Asymptotics as τ → +∞

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
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