Fast and accurate pricing of discretely monitored barrier options by numerical path integration
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Publication:2461660
DOI10.1007/s10614-007-9091-5zbMath1310.91146MaRDI QIDQ2461660
Publication date: 21 November 2007
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-007-9091-5
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work