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Continuity correction for barrier options in jump-diffusion models
Barrier option Bessel process Continuity correction Exponential L´ evy model
2011/2/22
The aim of this paper is to study the continuity correction for barrier options in jump-diffusion models. For this purpose, we express the pay-off of a barrier option in terms of the maximum of the un...
Pricing of barrier options by marginal functional quantization
barrier options marginal functional quantization
2011/3/2
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization
method. From a known useful representation of the premium of barrier options one deduces an
algorithm simila...