Risk-neutral valuation of power barrier options
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Publication:1950192
DOI10.1016/J.AML.2012.12.016zbMath1262.91135OpenAlexW2072599174MaRDI QIDQ1950192
John G. O'Hara, Nick Constantinou, Siti Nur Iqmal Ibrahim
Publication date: 10 May 2013
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2012.12.016
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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