Analysis of quadrature methods for pricing discrete barrier options
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 31 (2007)
Issue (Month): 3 (March)
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New York University, Leonard N. Stern School Finance Department Working Paper Seires
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- Dai, Min & Li, Peifan & Zhang, Jin E., 2010. "A lattice algorithm for pricing moving average barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 542-554, March.
- Christoph Becker & Uwe Wystup, 2009. "On the cost of delayed currency fixing announcements," Annals of Finance, Springer, vol. 5(2), pages 161-174, March.
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