METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS (Q3107935): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS |
scientific article |
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METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS (English)
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28 December 2011
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double barrier option
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partial barrier option
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American corridor option
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linear programming
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moments
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polynomial jump-diffusion
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