Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+A general version of the fundamental theorem of asset pricing
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+A moment expansion approach to option pricing
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+On a new approach to calculating expectations for option pricing
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+A Continuity Correction for Discrete Barrier Options
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+Connecting discrete and continuous path-dependent options
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+A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
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+Analysis of quadrature methods for pricing discrete barrier options
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+Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
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+A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
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+Q4450668
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+Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
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+An exact analytical solution for discrete barrier options
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+Numerical inversion of probability generating functions
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+The application of Padeapproximants to Wiener-Hopf factorization
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+Publication:2476662