Pricing discretely-monitored double barrier options with small probabilities of execution
Vasileios E. Kontosakos, Keegan Mendonca, Athanasios A. Pantelous, Konstantin M. Zuev
| Year of publication: |
2021
|
|---|---|
| Authors: | Kontosakos, Vasileios E. ; Mendonca, Keegan ; Pantelous, Athanasios A. ; Zuev, Konstantin M. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 290.2021, 1 (1.4.), p. 313-330
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| Subject: | Simulation | Barrier options pricing | Rare event | Path-dependent derivatives | Discrete monitoring | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Hedging | 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: | 10.1016/j.ejor.2020.07.044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012436366