Analysis of quadrature methods for pricing discrete barrier options (Q1017005)
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scientific article; zbMATH DE number 5554409
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| English | Analysis of quadrature methods for pricing discrete barrier options |
scientific article; zbMATH DE number 5554409 |
Statements
Analysis of quadrature methods for pricing discrete barrier options (English)
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18 May 2009
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barrier options
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discrete monitoring
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interpolation
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quadrature
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Black-Scholes
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variance-gamma
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CEV process
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0.8529586791992188
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0.8322528004646301
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0.8267478942871094
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0.8174805045127869
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0.8140636682510376
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