On the rate of convergence of prices of barrier options with discrete and continuous time (Q5391404)
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scientific article; zbMATH DE number 5875192
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the rate of convergence of prices of barrier options with discrete and continuous time |
scientific article; zbMATH DE number 5875192 |
Statements
On the rate of convergence of prices of barrier options with discrete and continuous time (English)
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6 April 2011
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barrier option
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derivative security
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Black-Scholes model
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up-and-out option
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Monte Carlo method
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