Pricing discretely-monitored double barrier options with small probabilities of execution
type: Item
instance of: scholarly article
title: Pricing discretely-monitored double barrier options with small probabilities of execution
zbMATH Open document ID: 1487.91139
author: Vasileios E. Kontosakos
author: Keegan Mendonca
author: Athanasios A. Pantelous
author: Konstantin M. Zuev
published in: European Journal of Operational Research
publication date: 2021-06-03T00:00:00Z
full work available at URL: CaltechAUTHORS:20200727-091611276
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7354595
zbMATH Keywords: simulation
zbMATH Keywords: barrier options pricing
zbMATH Keywords: rare event
zbMATH Keywords: path-dependent derivatives
zbMATH Keywords: discrete monitoring
MaRDI profile type: Publication
OpenAlex ID: W3044457573
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DOI: 10.1016/J.EJOR.2020.07.044
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description: scientific article; zbMATH DE number 7354595