Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm

DOI10.1287/mnsc.47.3.383.9775zbMath1232.91677OpenAlexW2095146093MaRDI QIDQ3114680

Leong-Kwan Li, Wai Man Tse, Kai Wang Ng

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.47.3.383.9775

zbMATH Keywords

Brownian motiondiscrete barrier optionsdiscrete lookback optionsmultivariate normal probabilityevaluation technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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