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
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
