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 journal › Article › peer-review

Original language	English
Pages (from-to)	75-107
Number of pages	33
Journal	Stochastic Processes and their Applications
Volume	100
Publication status	Published - 2002

Cite this

@article{02ed8345a194464db65c3c632c3ee330,

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

author = "F Avram and Terence Chan and M Usabel",

year = "2002",

language = "English",

volume = "100",

pages = "75--107",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

}

TY - JOUR

T1 - On the valuation of constant barrier options under spectrally 1-sided exponential Levy models and Carr's Aproximation of America Puts

AU - Avram, F

AU - Chan, Terence

AU - Usabel, M

PY - 2002

Y1 - 2002

M3 - Article

SN - 0304-4149

VL - 100

SP - 75

EP - 107

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

ER -