Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10011742159
Simple analytical solutions for the prices of discretely monitored barrier options do not yet exist in the literature. This paper presents a semi-analytical and fully explicit solution for pricing discretely monitored barrier options when the underlying asset is driven by a general Lévy...
Persistent link: https://www.econbiz.de/10012967550