Barrier option pricing: a hybrid method approach

DOI10.1080/14697680802595593zbMath1169.91345MaRDI QIDQ3395743

Andrew Minglong Wang, Yi-Long Hsiao, Yu-Hong Liu

Publication date: 13 September 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802595593

zbMATH Keywords

Laplace transform; finite-difference method; hybrid method; barrier option

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

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Unnamed Item, A hybrid finite difference method for pricing two-asset double barrier options, The market pricing of the lifeboat provision in a closed-end fund

Cites Work

• Unnamed Item
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