Continuity correction: on the pricing of discrete double barrier options

DOI10.1007/s11147-022-09193-zOpenAlexW4309883147MaRDI QIDQ6154209

Hsin-Chieh Wong, Sheng-Feng Luo

Publication date: 19 March 2024

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-022-09193-z

zbMATH Keywords

principle of smooth fitovershootcontinuity correctiondouble barrier optiondiscrete option pricing

Mathematics Subject Classification ID

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

Cites Work

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