Spectral binomial tree: New algorithms for pricing barrier options
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference15 articles.
1. Theory of rational option pricing;Merton;Bell Journal of Economics and Management Science,1973
2. Pricing options with curved boundaries;Kunitomo;Mathematical Finance,1992
3. Pricing and hedging double barrier options: a probabilistic approach;Geman;Mathematical Finance,1996
4. Pricing double barrier options using analytical inversion of Laplace transform;Pelsser;Finance and Stochastics,2000
5. Pricing options on scalar diffusions: eigenfunction expansion approach;Davydov;Operations Research,2003
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