Very fast algorithms for implied barriers and moving-barrier options pricing
type: Item
instance of: scholarly article
title: Very fast algorithms for implied barriers and moving-barrier options pricing
author: Yu-Ming Lu
author: Yuh-Dauh Lyuu
published in: Mathematics and Computers in Simulation
publication date: 2022-12-07T00:00:00Z
Mathematics Subject Classification ID: 91-XX
Mathematics Subject Classification ID: 68-XX
zbMATH DE Number: 7627995
zbMATH Keywords: implied barrier
zbMATH Keywords: option pricing
zbMATH Keywords: algorithm
zbMATH Keywords: moving-barrier option
zbMATH Keywords: fast Fourier transform
zbMATH Keywords: translation invariance
MaRDI profile type: Publication
full work available at URL: j.matcom.2022.09.018
OpenAlex ID: W4298009615
cites work: Valuation formulae for window barrier options
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DOI: 10.1016/J.MATCOM.2022.09.018
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description: scientific article; zbMATH DE number 7627995