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Window double barrier options

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Publication:1418776
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DOI10.1023/A:1022874005113zbMath1065.91024OpenAlexW2266892600MaRDI QIDQ1418776

Tristan Guillaume

Publication date: 14 January 2004

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022874005113


zbMATH Keywords

numerical integrationBrownian motionvalidation formulae


Mathematics Subject Classification ID

Brownian motion (60J65)


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