CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS (Q3523577)

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CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
scientific article

    Statements

    title
    CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS (English)
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    author
    Espen Gaarder Haug
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    publication date
    3 September 2008
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    zbMATH Keywords
    American barrier options
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    geometric Brownian motion
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    reflection principle
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    closed form solutions
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    Identifiers

    zbMATH DE Number
    5320128
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    OpenAlex ID
    W3124155591
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