Pricing discrete double barrier options with a numerical method
Pierre Rostan, Alexandra Rostan, François-Éric Racicot
| Year of publication: |
July 2015
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|---|---|
| Authors: | Rostan, Pierre ; Rostan, Alexandra ; Racicot, François-Éric |
| Published in: |
Journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 16.2015, 4, p. 243-271
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| Subject: | Monte Carlo simulation | option pricing | discrete double barrier options | variance reduction technique | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/jam.2015.6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011413369