Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
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Publication:724078
DOI10.1016/j.ejor.2018.04.016zbMath1403.91350arXiv1712.00077OpenAlexW2772008458MaRDI QIDQ724078
Gianluca Fusai, Guido Germano, Carolyn E. Phelan, Daniele Marazzina
Publication date: 25 July 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.00077
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Uses Software
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