Valuation formulae for window barrier options (Q4551196)
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scientific article; zbMATH DE number 1796822
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation formulae for window barrier options |
scientific article; zbMATH DE number 1796822 |
Statements
Valuation formulae for window barrier options (English)
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5 September 2002
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window barrier option
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convolution density
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option valuation formulae
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approximate risk sensitivities
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hedging
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trivariate normal distribution
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approximating trivariate normal probabilities
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