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Analytic valuation of European continuous-installment barrier options - MaRDI portal

Analytic valuation of European continuous-installment barrier options (Q2315940)

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Analytic valuation of European continuous-installment barrier options
scientific article

    Statements

    title
    Analytic valuation of European continuous-installment barrier options (English)
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    author
    Junkee Jeon
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    Sun-Yong Choi
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    Ji-Hun Yoon
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    publication date
    26 July 2019
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    zbMATH Keywords
    installment option
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    European barrier option
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    free boundary value problem
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    recursive integration method
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G20
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    44A20
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    60G40
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    zbMATH DE Number
    7085979
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    OpenAlex ID
    W2954159030
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    Wikidata QID
    Q127623323
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