A Continuity Correction for Discrete Barrier Options
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Publication:2707182
DOI10.1111/1467-9965.00035zbMath1020.91020OpenAlexW2168954579MaRDI QIDQ2707182
Steven Kou, Mark N. Broadie, Paul Glasserman
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00035
Other physical applications of random processes (60K40) Derivative securities (option pricing, hedging, etc.) (91G20)
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