A continuity correction for discrete barrier options

Mathematical Finance

Volumn 7, Issue 4, 1997, Pages 325-349

  Broadie, Mark ^a   Glasserman, Paul ^a   Steven, Kou ^b  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Level crossing probabilities; Path dependent options; Siegmund's corrected diffusion approximation

Indexed keywords

EID: 0039647008     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00035     Document Type: Article

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