Numerical valuation of discrete double barrier options (Q847225)
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scientific article; zbMATH DE number 5669189
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| English | Numerical valuation of discrete double barrier options |
scientific article; zbMATH DE number 5669189 |
Statements
Numerical valuation of discrete double barrier options (English)
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12 February 2010
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discrete barrier options
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Black-Scholes model
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quadrature method
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multivariate normal probability evaluation
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exotics
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0.8707260489463806
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0.8682637810707092
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0.8681254982948303
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0.8608248233795166
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0.8427070379257202
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