PDE methods for pricing barrier options

Journal of Economic Dynamics and Control

Volumn 24, Issue 11-12, 2000, Pages 1563-1590

  Zvan, R ^a   Vetzal, K R ^a   Forsyth, P A ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Automatic time stepping; Barrier options; Numerical methods; Option pricing

Indexed keywords

EID: 0000676320     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(00)00002-6     Document Type: Article

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