Analysis of quadrature methods for pricing discrete barrier options (Q1017005)
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scientific article; zbMATH DE number 5554409
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of quadrature methods for pricing discrete barrier options |
scientific article; zbMATH DE number 5554409 |
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Analysis of quadrature methods for pricing discrete barrier options (English)
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18 May 2009
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barrier options
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discrete monitoring
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interpolation
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quadrature
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Black-Scholes
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variance-gamma
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CEV process
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