CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS (Q3523577): Difference between revisions
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: Option pricing: A simplified approach / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024901001012 / rank | |||
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Latest revision as of 09:31, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS |
scientific article |
Statements
CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS (English)
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3 September 2008
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American barrier options
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geometric Brownian motion
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reflection principle
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closed form solutions
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