Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
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Publication:2757306
DOI10.1111/1467-9965.t01-1-00071zbMath0980.91029OpenAlexW3124406900MaRDI QIDQ2757306
Paolo Baldi, Lucia Caramellino, Maria Gabriella Iovino
Publication date: 26 November 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00071
Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to stochastic differential and integral equations (65C30)
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