BARRIER OPTION PRICING BY BRANCHING PROCESSES
Year of publication: |
2009
|
---|---|
Authors: | MITOV, GEORGI K. ; RACHEV, SVETLOZAR T. ; KIM, YOUNG SHIN ; FABOZZI, FRANK J. |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 12.2009, 07, p. 1055-1073
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Barrier option | up-and-out call option | Bienayme-Galton-Watson branching process | branching process in a random environment |
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