Pricing derivatives with barriers in a stochastic interest rate environment
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 32 (2008)
Issue (Month): 9 (September)
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Web page: http://www.elsevier.com/locate/jedc
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- Sam Howison & Mario Steinberg, 2007. "A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 14(1), pages 63-89.
- 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.
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