Pricing general barrier options: A numerical approach using sharp large deviations

Mathematical Finance

Volumn 9, Issue 4, 1999, Pages 293-321

  Baldi, Paolo ^a   Caramellino, Lucia ^b   Iovino, Maria Gabriella ^c  

^a UNIVERSITY OF ROME TOR VERGATA   (Italy)

^b ROMA TRE UNIVERSITY   (Italy)

^c UNIVERSITY OF PERUGIA   (Italy)

Author keywords

Barrier options; Monte Carlo methods; Sharp large deviations

Indexed keywords

EID: 0033242699     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.t01-1-00071     Document Type: Article

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