مرکز منطقه ای اطلاع رساني علوم و فناوري - Analysis of quadrature methods for pricing discrete barrier options

Title of article :

Analysis of quadrature methods for pricing discrete barrier options

Author/Authors :

Gianluca Fusai، نويسنده , , Maria Cristina Recchioni، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

826

To page :

860

Keywords :

Discrete monitoring , Barrier options , interpolation , Black–Scholes , Variance-Gamma , CEV process , Quadrature

Journal title :

Journal of Economic Dynamics and Control

Serial Year :

2007

Journal title :

Journal of Economic Dynamics and Control

Record number :

239017

Link To Document :