Continuity correction for discrete barrier options with two barriers

DOI10.1016/j.cam.2012.06.021zbMath1260.91267OpenAlexW2093307376MaRDI QIDQ455886

Doobae Jun

Publication date: 22 October 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.06.021

zbMATH Keywords

chained optiondiscrete barrier optiondiscrete girsanov theorem

Mathematics Subject Classification ID

Related Items (2)

Continuity correction: on the pricing of discrete double barrier options ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion

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