PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER (Q2786033)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER |
scientific article |
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PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER (English)
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16 September 2010
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first-hitting time
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passage times
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hitting-times
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barrier
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discretely-monitored
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inverse Gaussian
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stratified sampling
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Monte Carlo
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