METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS
Year of publication: |
2011
|
---|---|
Authors: | ERIKSSON, BJORN ; PISTORIUS, MARTIJN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 14.2011, 07, p. 1139-1158
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Double barrier option | partial barrier option | American corridor option | linear programming | moments | polynomial jump-diffusion |
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