Pricing discretely monitored barrier options by a Markov chain

Journal of Derivatives

Volumn 10, Issue 4, 2003, Pages 9-31

  Duan, Jin Chuan ^a   Dudley, Evan ^b   Gauthier, Geneviève ^c   Simonato, Jean Guy ^c  

^a UNIVERSITY OF TORONTO   (Canada)

^b UNIVERSITY OF ROCHESTER   (United States)

^c HEC MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 27344453379     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2003.319203     Document Type: Article

References (18)

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