scientific article

zbMath1227.91035MaRDI QIDQ3102303

Chi-Fai Lo, Cho-Hoi Hui

Publication date: 3 December 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Fourier seriesdouble barrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Pricing double-barrier option with processes depending on various states of the economy ⋮ Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) ⋮ Calibration of the temporally varying volatility and interest rate functions ⋮ Local time and the pricing of path-dependent options ⋮ On the Problem of Pricing a Double Barrier Option in a Modified Black-Scholes Environment ⋮ Approximation of functions of Lipschitz class by (N,p_n)(E,1) summability means of conjugate series of Fourier series

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