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Empirical performance of models for barrier option valuation

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  • Cathrine Jessen
  • Rolf Poulsen

Abstract

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  • Cathrine Jessen & Rolf Poulsen, 2013. "Empirical performance of models for barrier option valuation," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 1-11, December.
  • Handle: RePEc:taf:quantf:v:13:y:2013:i:1:p:1-11
    DOI: 10.1080/14697688.2012.723820
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    File URL: http://hdl.handle.net/10.1080/14697688.2012.723820
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    Cited by:

    1. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017. "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers 1712.08247, arXiv.org.
    2. José Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
    3. Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.

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