Fast and accurate pricing of discretely monitored barrier options by numerical path integration
| Year of publication: |
2007
|
|---|---|
| Authors: | Skaug, Christian ; Naess, Arvid |
| Published in: |
Computational Economics. - Society for Computational Economics - SCE, ISSN 0927-7099. - Vol. 30.2007, 2, p. 143-151
|
| Publisher: |
Society for Computational Economics - SCE |
| Subject: | Barrier options | Discrete monitoring | Numerical path integration |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005674131