Cross a barrier to reach barrier options
From MaRDI portal
Publication:764941
DOI10.1016/j.jmaa.2011.12.038zbMath1233.91281MaRDI QIDQ764941
Publication date: 16 March 2012
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.12.038
91G60: Numerical methods (including Monte Carlo methods)
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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