Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge-Reference-Cited by-同舟云学术

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Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge

Published:2024-07 Issue: Volume:73 Page:102174
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Lee Hangsuck,Ha Hongjun,Kong Byungdoo,Lee Minha^ORCID

Funder

National Research Foundation of Korea

Ministry of Science, ICT and Future Planning

Publisher

Elsevier BV

Reference22 articles.

1. An information-theoretic perspective on overfitting and underfitting;Bashir,2020

2. Machine learning for quantitative finance: Fast derivative pricing, hedging and fitting;De Spiegeleer;Quantitative Finance,2018

3. Option pricing by Esscher transforms;Gerber;Transactions of the Society of Actuaries,1994

4. Actuarial bridges to dynamic hedging and option pricing;Gerber;Insurance: Mathematics & Economics,1996

5. Monte Carlo methods in financial engineering;Glasserman,2013

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