Pricing general barrier options: a numerical approach using sharp large deviations
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- scientific article; zbMATH DE number 1390103 (Why is no real title available?)
- DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS
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- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions
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- Large deviations of conditioned diffusions and applications
- Approximation of exit times for one-dimensional linear diffusion processes
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- Exit problem for Ornstein-Uhlenbeck processes: a random walk approach
- On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary
- Large deviation estimates of the crossing probability for pinned Gaussian processes
- A new approach for option pricing under stochastic volatility
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