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A numerical method for pricing discrete double barrier option by Legendre multiwavelet
16 references·0 citing·43 second hop
A numerical method for pricing discrete double barrier option by Legendre multiwavelet (2017)A numerical method for pricing discrete d…The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing (2010)The Bino-Trinomial Tree: A Si…Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Pricing early-exercise and di…Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…On smoothing of the Crank–Nicolson scheme and higher order schemes for pricing barrier options (2006)On smoothing of the Crank–Nic…Analysis of quadrature methods for pricing discrete barrier options (2006)Analysis of quadrature method…An exact analytical solution for discrete barrier options (2005)An exact analytical solution …A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (2005)A Double-Exponential Fast Gau…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Universal option valuation using quadrature methods (2003)Universal option valuation us…Pricing Discretely Monitored Barrier Options by a Markov Chain (2003)Pricing Discretely Monitored …Pricing double barrier options using Laplace transforms (2000)Pricing double barrier option…Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations (1999)Pricing General Barrier Optio…Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation (1997)Going to Extremes: Correcting…Exotic options : the state of the art (1997)Exotic options : the state of…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…Multinomial Approximating Models for Options with k State Variables (1991)Multinomial Approximating Mod…An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)Stochastic volatility models (2010)Option pricing when underlying stock returns are discontinuous (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (2011)Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options (2012)Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (2013)“Options, Futures, and Other Derivatives” (2016)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Dynamic Asset Pricing Theory. (1993)Numerical pricing of discrete barrier and lookback options via Laplace transforms (2004)Computing exponential moments of the discrete maximum of a Lévy process and lookback options (2009)Pricing discrete barrier options and credit default swaps under Lévy processes (2013)The valuation of options for alternative stochastic processes (1976)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Pricing American-style securities using simulation (1997)Randomization and the American Put (1998)The Mathematics of Financial Derivatives (1995)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Option pricing by transform methods: extensions, unification and error control (2004)Theory of rational option pricing (2005)The American Put Option Valued Analytically (1984)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Pricing discretely monitored Asian options under Lévy processes (2008)Pricing Options With Curved Boundaries 1 (1992)Option pricing: Mathematical models and computation (1994)A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (2007)Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets (2008)Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options (2015)Connecting discrete and continuous path-dependent options (1999)Brownian Motion and Stochastic Calculus (2007)Multilevel Monte Carlo Path Simulation (2008)Design of computer experiments: A review (2017)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Some Applications and Methods of Large Deviations in Finance and Insurance (2007)
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References

  • 2004Arbitrage Theory in Continuous Time944 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 1991Multinomial Approximating Models for Options with k State Variables283 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
  • 2003Universal option valuation using quadrature methods147 cited
  • 2000Pricing double barrier options using Laplace transforms136 cited
  • 2005An exact analytical solution for discrete barrier options89 cited
  • 2005A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options83 cited
  • 1999Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations69 cited
  • 2006Analysis of quadrature methods for pricing discrete barrier options61 cited
  • 2010The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing58 cited
  • 2006On smoothing of the Crank–Nicolson scheme and higher order schemes for pricing barrier options58 cited
  • 1997Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation58 cited
  • 2003Pricing Discretely Monitored Barrier Options by a Markov Chain

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58 cited
  • 1997Exotic options : the state of the art48 cited
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