On pricing of discrete barrier options

Statistica Sinica

Volumn 13, Issue 4, 2003, Pages 955-964

  Kou, S G ^a  

^a Department of Earth and Environmental Sciences   (United States)

Author keywords

Girsanov theorem; Level crossing probabilities; Siegmund's corrected diffusion approximation

Indexed keywords

EID: 0346968387     PISSN: 10170405     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (18)

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