Publication:4450668
From MaRDI portal
zbMath1109.91359MaRDI QIDQ4450668
Publication date: 15 February 2004
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A lattice algorithm for pricing moving average barrier options, Analysis of quadrature methods for pricing discrete barrier options, Fast and accurate pricing of discretely monitored barrier options by numerical path integration, Pricing financial claims contingent upon an underlying asset monitored at discrete times, PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH