Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou

DOI10.1007/s007800200077zbMath1039.91027OpenAlexW2095095839MaRDI QIDQ1424714

Per Hörfelt

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200077

zbMATH Keywords

barrier optionsbarrier approximation

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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