A numerical method to price discrete double barrier options under a constant elasticity of variance model with jump diffusion
DOI10.1080/00207160.2014.986114zbMATH Open1335.91098OpenAlexW1991041280MaRDI QIDQ2804029FDOQ2804029
Luca Vincenzo Ballestra, D. Ahmadian
Publication date: 27 April 2016
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2014.986114
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Cited In (5)
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- Continuity correction: on the pricing of discrete double barrier options
- High-order exponential spline method for pricing European options
- Robust numerical algorithm to the European option with illiquid markets
- Numerical method for pricing discretely monitored double barrier option by orthogonal projection method
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