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Volumn 31, Issue 3, 2007, Pages 826-860

Analysis of quadrature methods for pricing discrete barrier options

Author keywords

Barrier options; Black Scholes; CEV process; Discrete monitoring; Interpolation; Quadrature; Variance Gamma

Indexed keywords


EID: 33846344705     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2006.03.002     Document Type: Article
Times cited : (52)

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