Continuity Correction for Barrier Options in Jump-Diffusion Models
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Publication:5388688
DOI10.1137/100817553zbMath1252.91077arXiv1012.3882OpenAlexW3098486936MaRDI QIDQ5388688
Damien Lamberton, El Hadj Aly Dia
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.3882
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