A discrete-time algorithm for pricing double barrier options.

DOI10.1007/S102030170009MaRDI QIDQ698352zbMATHOpenAlexFDO

Authors Massimo Costabile

Publication date 21 October 2002

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s102030170009

Mathematics Subject Classification ID

Factorials, binomial coefficients, combinatorial functions (05A10)

Cites work

• scientific article; zbMATH DE number 3712896 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Option pricing: A simplified approach
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹

Cited in

(1)

• Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff

This page was built for publication: A discrete-time algorithm for pricing double barrier options.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q698352)