The evaluation of discrete barrier options in a path integral framework

MaRDI QIDQ3524413zbMATH OpenFDO

Authors Carl Chiarella, Nadima El-Hassan, A. Kucera

Publication date 9 September 2008

zbMATH Keywords

backward recursion methoddiscrete barrier optionsFourier-Hermite polynomialspath integral

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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• Numerical valuation of discrete double barrier options

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