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

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

Cite this

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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",

}

On the valuation of constant barrier options under spectrally 1-sided exponential Levy models and Carr's Aproximation of America Puts. / Avram, F; Chan, Terence; Usabel, M.

In: Stochastic Processes and their Applications, Vol. 100, 2002, p. 75-107.

Research output: Contribution to journalArticle

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

VL - 100

SP - 75

EP - 107

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

ER -