Pricing discrete double barrier options under Lévy processes: An extension of the method by Milev and Tagliani
Author:
Funder
National Nature Science Foundation of China
Publisher
Elsevier BV
Subject
Finance
Reference22 articles.
1. A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion;Ahmadian;Int. J. Comput. Math.,2015
2. A boundary element method to price time-dependent double barrier options;Ballestra;Appl. Math. Comput.,2011
3. A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate;Ballestra;Appl. Numer. Math.,2014
4. Processes of normal inverse Gaussian type;Barndorff-Nielsen;Finance Stochast.,1998
5. A double-exponential fast Gauss transform algorithm for pricing discrete path-dependent options;Broadie;Oper. Res.,2005
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1. Multi-step double barrier options;Finance Research Letters;2021-11
2. How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach;Finance Research Letters;2017-05
3. Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods;Asia-Pacific Journal of Operational Research;2017-02
4. Discontinuous payoff option pricing by Mellin transform: A probabilistic approach;Finance Research Letters;2017-02
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