Continuity correction : on the pricing of discrete double barrier options
Sheng-Feng Luo, Hsin-Chieh Wong
| Year of publication: |
2023
|
|---|---|
| Authors: | Luo, Sheng-Feng ; Wong, Hsin-Chieh |
| Published in: |
Review of derivatives research. - Dordrecht [u.a.] : Springer Science + Business Media B.V, ISSN 1573-7144, ZDB-ID 2004343-0. - Vol. 26.2023, 1, p. 51-90
|
| Subject: | Continuity correction | Discrete option pricing | Double barrier option | Overshoot | Principle of smooth fit | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-022-09193-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014266376