A Continuity Correction for Discrete Barrier Options (Q2707182)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Continuity Correction for Discrete Barrier Options |
scientific article |
Statements
A Continuity Correction for Discrete Barrier Options (English)
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29 March 2001
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path-dependent options
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Siegmund's corrected diffusion approximation
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level crossing probabilities
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