A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
| Year of publication: |
2007
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|---|---|
| Authors: | Howison, Sam ; Steinberg, Mario |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1350-486X, ZDB-ID 12824094. - Vol. 14.2007, 1, p. 63-90
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