A spectral approach to pricing of arbitrage-free sabr discrete barrier options
Year of publication: |
2019
|
---|---|
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
|
Subject: | Arbitrage-free SABR model | Discretely monitored barriers | Option pricing | Spectral discretisation | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
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