American continuous-installment options of barrier type
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Publication:890621
DOI10.1007/S11424-013-0310-YzbMath1377.91157OpenAlexW2108811930MaRDI QIDQ890621
Publication date: 10 November 2015
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-013-0310-y
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Perpetual cancellable American options with convertible features ⋮ Analytic valuation of European continuous-installment barrier options
Cites Work
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