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Continuity correction for barrier options in jump-diffusion models
Barrier option Bessel process Continuity correction Exponential L´ evy model
2011/2/22
The aim of this paper is to study the continuity correction for barrier options in jump-diffusion models. For this purpose, we express the pay-off of a barrier option in terms of the maximum of the un...
For a Radon measure $\mu$ on $\bbR,$ we show that $L^{\infty}(\mu)$ is invariant under the group of translation operators $T_t(f)(x) = {$f(x-t)$}\ (t \in \bbR)$ if and only if $\mu$ is equivalent to ...
The Factor Decomposition Theorem of Bounded Generalized Inverse Modules and Their Topological Continuity
factor decomposition generalized inverse module map
2007/12/10
In this paper we obtain a Douglas type factor decomposition theorem about certain important bounded module maps. Thus, we come to the discussion of the topological continuity of $bounded \;generalized...