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 language | English |
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| Place of Publication | Eindhoven |
| Publisher | Eurandom |
| Number of pages | 8 |
| Publication status | Published - 2010 |
Publication series
| Name | Report Eurandom |
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| Volume | 2010052 |
| ISSN (Print) | 1389-2355 |