Add to ORKGWe estimate the rate of convergence of barrier option price in a dis-crete time binomial market to such in a continuous time market. 1
Papers published in this report series are preliminary versions of journal articles and not for quot...
Abstract: Conditions, suitable for applications in finance, are given for the weak convergence (or c...
Abstract: A barrier option is a derivative contract that is activated or extinguished when the price...
On the rate of convergence of barrier option prices in binomial market to those in continuous time m...
We estimate the rate of convergence of barrier option price in a discrete time binomial market to su...
I would like to acknowledge my sponsors, The African Institute for Mathematical Sciences, and it don...
In the existing literature on barrier options, much effort has been exerted to ensure convergence th...
The payoff of a barrier option depends on whether a specified underlying asset price crosses a speci...
In a recent article, Heston and Zhou (2000) proved that the rate of convergence of CRR binomial mode...
This paper characterizes the rate of convergence of discrete-time multinomial option prices. We show...
This bachelor thesis deals with pricing options and specifically barrier options in discrete time. A...
In this paper, using a perturbative method, a series expansion of the price of a (put up-and-out) ba...
The payoff of a barrier option depends on whether or not a specified asset price, index, or rate rea...
In the existing literature on barrier options, much effort has been exerted to ensure convergence th...
There are many different methods for pricing discretely monitored barrier options. There is a trade-...
Papers published in this report series are preliminary versions of journal articles and not for quot...
Abstract: Conditions, suitable for applications in finance, are given for the weak convergence (or c...
Abstract: A barrier option is a derivative contract that is activated or extinguished when the price...
On the rate of convergence of barrier option prices in binomial market to those in continuous time m...
We estimate the rate of convergence of barrier option price in a discrete time binomial market to su...
I would like to acknowledge my sponsors, The African Institute for Mathematical Sciences, and it don...
In the existing literature on barrier options, much effort has been exerted to ensure convergence th...
The payoff of a barrier option depends on whether a specified underlying asset price crosses a speci...
In a recent article, Heston and Zhou (2000) proved that the rate of convergence of CRR binomial mode...
This paper characterizes the rate of convergence of discrete-time multinomial option prices. We show...
This bachelor thesis deals with pricing options and specifically barrier options in discrete time. A...
In this paper, using a perturbative method, a series expansion of the price of a (put up-and-out) ba...
The payoff of a barrier option depends on whether or not a specified asset price, index, or rate rea...
In the existing literature on barrier options, much effort has been exerted to ensure convergence th...
There are many different methods for pricing discretely monitored barrier options. There is a trade-...
Papers published in this report series are preliminary versions of journal articles and not for quot...
Abstract: Conditions, suitable for applications in finance, are given for the weak convergence (or c...
Abstract: A barrier option is a derivative contract that is activated or extinguished when the price...