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Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk - MaRDI portal

Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk

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Publication:4526198

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DOI10.1023/A:1009837117736zbMath0960.91028MaRDI QIDQ4526198

Dietmar P. J. Leisen

Publication date: 11 May 2001

Published in: Review of Finance (Search for Journal in Brave)

zbMATH Keywords

weak convergence binomial model option valuation barrier options trinomial model lattice approach

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

Exercisability Randomization of the American Option ⋮ Valuing catastrophe bonds by Monte Carlo simulations ⋮ Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model

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