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"Choquet-based European option pricing with stochastic (and fixed) strikes."

Tarik Driouchi, Lenos Trigeorgis, Yongling Gao (2015)

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DOI: 10.1007/S00291-014-0378-3

access: closed

type: Journal Article

metadata version: 2020-03-06

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  - journals/ors/DriouchiTG15
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  - https://dblp.org/rec/journals/ors/DriouchiTG15
Tarik Driouchi, Lenos Trigeorgis, Yongling Gao:
Choquet-based European option pricing with stochastic (and fixed) strikes. OR Spectr. 37(3): 787-802 (2015)

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