We propose to approximate the Meixner model by a member of the $\beta$-family introduced in [Kuz10]. The advantage of such approximations are the semi–explicit formulas for the running extrema under the $\beta$-family processes which enables us to produce more efficient algorithms for certain exotic options.
|Place of Publication||Eindhoven|
|Number of pages||8|
|Publication status||Published - 2010|