Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343)
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scientific article; zbMATH DE number 7354595
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing discretely-monitored double barrier options with small probabilities of execution |
scientific article; zbMATH DE number 7354595 |
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Pricing discretely-monitored double barrier options with small probabilities of execution (English)
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3 June 2021
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simulation
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barrier options pricing
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rare event
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path-dependent derivatives
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discrete monitoring
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0.90692306
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0.89436066
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0.89249665
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