Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing

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Farkas, Walter, and Ludovic Mathys. “Geometric Step Options and Lévy Models: Duality, PIDEs, and Semi-Analytical Pricing”. Frontiers of Mathematical Finance, vol. 1, no. 1, 2022, p. 1, https://doi.org/10.3934/fmf.2021001.
Farkas, W., & Mathys, L. (2022). Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing. Frontiers of Mathematical Finance, 1(1), 1. https://doi.org/10.3934/fmf.2021001
Farkas, Walter, and Ludovic Mathys. “Geometric Step Options and Lévy Models: Duality, PIDEs, and Semi-Analytical Pricing”. Frontiers of Mathematical Finance 1, no. 1 (2022): 1. https://doi.org/10.3934/fmf.2021001.
Farkas W, Mathys L. Geometric step options and Lévy models: Duality, PIDEs, and semi-analytical pricing. Frontiers of Mathematical Finance. 2022;1(1):1.
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American type geometric step options Journal of Industrial & Management Optimization 5 2013
Intra‐Horizon expected shortfall and risk structure in models with jumps

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Step Options

 Mathematical Finance
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  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
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10.1142/S0217595910002624