PDE methods for pricing barrier options

DOI10.1016/S0165-1889(00)00002-6zbMath0967.91023OpenAlexW1978044135MaRDI QIDQ1583144

R. Zvan, Peter A. I. Forsyth, Kenneth Vetzal

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(00)00002-6

zbMATH Keywords

numerical methodsoption pricingbarrier optionsautomatic time stepping

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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