Pricing multi-step double barrier options by the efficient non-crossing probability
Hangsuck Lee, Hongjun Ha, Byungdoo Kong, Minha Lee
| Year of publication: |
2023
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|---|---|
| Authors: | Lee, Hangsuck ; Ha, Hongjun ; Kong, Byungdoo ; Lee, Minha |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 54.2023, p. 1-9
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| Subject: | Fokker-Planck equation | Multi-step double barrier options | Non-crossing probability | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103772 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472740