Analytic method for pricing vulnerable external barrier options
Year of publication: |
2023
|
---|---|
Authors: | Kim, Donghyun ; Yoon, Ji-Hun |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 4, p. 1561-1591
|
Subject: | External barrier option | Method of images | Monte Carlo simulation | Triple Mellin transform | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Monte-Carlo-Simulation |
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