The $\beta$ Meixner model

A. Ferreiro-Castilla, W. Schoutens

Research output: Book/ReportReportAcademic

51 Downloads (Pure)

Abstract

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.
Original languageEnglish
Place of PublicationEindhoven
PublisherEurandom
Number of pages8
Publication statusPublished - 2010

Publication series

NameReport Eurandom
Volume2010052
ISSN (Print)1389-2355

Cite this