On the valuation of constant barrier options under spectrally 1-sided exponential Levy models and Carr's Aproximation of America Puts

F Avram, Terence Chan, M Usabel

Research output: Contribution to journalArticle

24 Citations (Scopus)
Original languageEnglish
Pages (from-to)75-107
Number of pages33
JournalStochastic Processes and their Applications
Volume100
Publication statusPublished - 2002

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