PRICING BARRIER OPTIONS WITH SQUARE ROOT PROCESS
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Publication:3523603
DOI10.1142/S021902490100122XzbMath1154.91461OpenAlexW3125658538MaRDI QIDQ3523603
P. H. Yuen, Chi-Fai Lo, Cho-Hoi Hui
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902490100122x
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing double barrier options using Laplace transforms
- Comment on ``Pricing double barrier options using Laplace transforms by Antoon Pelsser
- Pricing Multi-Asset Options with an External Barrier
- Applications of Eigenfunction Expansions in Continuous-Time Finance
- PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
- Pricing Options With Curved Boundaries1
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