Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou
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References listed on IDEAS
- Duffie, Darrell & Lando, David, 2001. "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, Econometric Society, vol. 69(3), pages 633-664, May.
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More about this item
KeywordsOption pricing; discrete barrier options; heavy traffic approximation;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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