A continuity correction for discrete barrier options (Q2707182)
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scientific article; zbMATH DE number 1582901
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A continuity correction for discrete barrier options |
scientific article; zbMATH DE number 1582901 |
Statements
29 March 2001
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path-dependent options
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Siegmund's corrected diffusion approximation
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level crossing probabilities
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A continuity correction for discrete barrier options (English)
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0.927034080028534
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0.9007050395011902
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0.875839352607727
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0.8471003770828247
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