Pricing discretely-monitored double barrier options with small probabilities of execution
Year of publication: |
2021
|
---|---|
Authors: | Kontosakos, Vasileios E. ; Mendonca, Keegan ; Pantelous, Athanasios A. ; Zuev, Konstantin M. |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 290.2021, 1 (1.4.), p. 313-330
|
Subject: | Simulation | Barrier options pricing | Rare event | Path-dependent derivatives | Discrete monitoring | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
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