Universal option valuation using quadrature methods-Reference-Cited by-同舟云学术

Universal option valuation using quadrature methods

Published:2003-03 Issue:3 Volume:67 Page:447-471
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Andricopoulos Ari D.,Widdicks Martin,Duck Peter W.,Newton David P.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference19 articles.

1. Handbook of Mathematical Functions;Abramowitz,1965

2. Pricing discrete barrier options with an adaptive mesh model;Ahn;Journal of Derivatives,1999

3. Andricopoulos, A.D, Widdicks, M., Duck, P.W., Newton, D.P., 2001. Universal option pricing using quadrature. Manchester Business School Working Paper No. 432, ISSN 0954–7401

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

5. Bumping up against the barrier with the binomial method;Boyle;Journal of Derivatives,1994

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