A discrete-time algorithm for pricing double barrier options.

DOI10.1007/S102030170009zbMath1168.91382OpenAlexW1965829966MaRDI QIDQ698352

Massimo Costabile

Publication date: 21 October 2002

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102030170009

Mathematics Subject Classification ID

Factorials, binomial coefficients, combinatorial functions (05A10)

Related Items (1)

Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff

Cites Work

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• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Pricing Options With Curved Boundaries¹
• Option pricing: A simplified approach

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