A spectral approach to pricing of arbitrage-free sabr discrete barrier options
Nawdha Thakoor, Désiré Yannick Tangman, Muddun Bhuruth
| Year of publication: |
2019
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|---|---|
| Authors: | Thakoor, Nawdha ; Tangman, Désiré Yannick ; Bhuruth, Muddun |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 54.2019, 3, p. 1085-1111
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| Subject: | Arbitrage-free SABR model | Discretely monitored barriers | Option pricing | Spectral discretisation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-018-9868-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134509