Analysis of quadrature methods for pricing discrete barrier options
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Publication:1017005
DOI10.1016/j.jedc.2006.03.002zbMath1163.91397OpenAlexW1987050890MaRDI QIDQ1017005
Maria Cristina Recchioni, Gianluca Fusai
Publication date: 18 May 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.03.002
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)
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