Pricing derivatives with barriers in a stochastic interest rate environment (Q844767): Difference between revisions

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+https://doi.org/10.1016/j.jedc.2007.11.004
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+W3122225546
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+Market value of life insurance contracts under stochastic interest rates and default risk
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+Arbitrage Theory in Continuous Time
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+A Continuity Correction for Discrete Barrier Options
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+Brownian Excursions and Parisian Barrier Options
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+Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
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+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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+Matched asymptotic expansions in financial engineering
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+A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
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+Optimal portfolios with stochastic interest rates and defaultable assets.
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+Step Options
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+Pricing double barrier options using Laplace transforms
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