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A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters
16 references·2 citing·33 second hop
A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters (2015)A Numerical Method for Discrete Single Ba…Stochastic Differential Equations (2014)Stochastic Differential Equat…- Theory and applications (2013)- Theory and applicationsTheory of rational option pricing (2005)Theory of rational option pri…Stochastic Differential Equations (2003)Stochastic Differential Equat…Stochastic Differential Equations (2002)Stochastic Differential Equat…Pricing double barrier options using Laplace transforms (2000)Pricing double barrier option…Connecting discrete and continuous path-dependent options (1999)Connecting discrete and conti…Derivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)PRICING AND HEDGING DOUBLE‐BA…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Pricing Options With Curved Boundaries 1 (1992)Pricing Options With Curved B…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Differential Equat…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Efficient and fast numerical method for pricing discrete double barrier option by projection method (2017)Efficient and fast numerical …A numerical method for pricing discrete double barrier option by Legendre multiwavelet (2017)A numerical method for pricin…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Optimum consumption and portfolio rules in a continuous-time model (1971)Stochastic Differential Equations and Diffusion Processes (1983)Maximum Likelihood Estimation of Generalized Itô Processes with Discretely Sampled Data (1988)Continuous Martingales and Brownian Motion (1999)Stochastic Differential Equations—An Introduction With Applications (2006)Brownian Motion and Stochastic Calculus (2007)An introduction to statistical finance (2002)An evolutionary heuristic for the index tracking problem (2003)An Engine, Not a Camera (2006)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Option pricing: A simplified approach (1979)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)ARCH models as diffusion approximations (1990)Narver and Slater, Kohli and Jaworski and the market orientation construct: integration and internationalization (1995)Automation Bias in Intelligent Time Critical Decision Support Systems (2004)Why do small and medium enterprises use social media marketing and what is the impact: Empirical insights from India (2020)The Role of Portfolio Constraints in the International Propagation of Shocks (2008)Numerical Solution of Stochastic Differential Equations (2016)
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Cited by

  • 2017A numerical method for pricing discrete double barrier option by Legendre multiwavelet15 cited
  • 2017Efficient and fast numerical method for pricing discrete double barrier option by projection method15 cited