The $\beta$ Meixner model

A. Ferreiro-Castilla, W. Schoutens

Research output: Book/ReportReportAcademic

67 Downloads (Pure)


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
Number of pages8
Publication statusPublished - 2010

Publication series

NameReport Eurandom
ISSN (Print)1389-2355


Dive into the research topics of 'The $\beta$ Meixner model'. Together they form a unique fingerprint.

Cite this