Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm
Year of publication: |
2001
|
---|---|
Authors: | Tse, Wai Man ; Li, Leong Kwan ; Ng, Kai Wang |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 47.2001, 3, p. 383-393
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | Brownian Motion | Multivariate Normal Probability Evaluation Technique | Discrete Barrier Options | Discrete Lookback Options |
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