Analysis of quadrature methods for pricing discrete barrier options (Q1017005)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Analysis of quadrature methods for pricing discrete barrier options
scientific article

    Statements

    Analysis of quadrature methods for pricing discrete barrier options (English)
    0 references
    0 references
    18 May 2009
    0 references
    barrier options
    0 references
    discrete monitoring
    0 references
    interpolation
    0 references
    quadrature
    0 references
    Black-Scholes
    0 references
    variance-gamma
    0 references
    CEV process
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers