Pricing Parisian and Parasian options analytically
From MaRDI portal
Publication:318348
DOI10.1016/j.jedc.2012.12.005zbMath1346.91242OpenAlexW2072254490MaRDI QIDQ318348
Publication date: 5 October 2016
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://ro.uow.edu.au/eispapers/1211
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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