Double barrier hitting time distributions with applications to exotic options
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Publication:1276457
DOI10.1016/S0167-6687(98)00021-3zbMath0942.60066OpenAlexW2043702616MaRDI QIDQ1276457
Publication date: 27 April 1999
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00021-3
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Stochastic differential equations. An introduction with applications
- Martingales and arbitrage in multiperiod securities markets
- Double Lookbacks
- MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
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