Numerical valuation of discrete double barrier options-Reference-Cited by-同舟云学术

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Numerical valuation of discrete double barrier options

Published:2010-03 Issue:10 Volume:233 Page:2468-2480
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Milev Mariyan,Tagliani Aldo

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference25 articles.

1. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

2. Static hedging of exotic options;Carr;The Journal of Finance,1998

3. Mathematical Models of Financial Derivatives;Kwok,1998

4. The pricing of double barrier options and their valuation;Li;Advances in Futures and Options Research,1998

5. The Complete Guide to Option Pricing Formulas;Haug,1997

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3. Continuity correction: on the pricing of discrete double barrier options;Review of Derivatives Research;2022-11-24

4. A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes;Mathematical Methods in the Applied Sciences;2022-11-22

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