Binomial Approximations for Barrier Options of Israeli Style
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References listed on IDEAS
- Yan Dolinsky & Yuri Kifer, 2008. "Binomial approximations of shortfall risk for game options," Papers 0811.1896, arXiv.org.
- Mark Broadie & Paul Glasserman & Steven Kou, 1997. "A Continuity Correction for Discrete Barrier Options," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 325-349.
- Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
- Hélyette Geman & Marc Yor, 1996. "Pricing And Hedging Double-Barrier Options: A Probabilistic Approach," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 365-378.
- L.C.G. Rogers & E.J. Stapleton, 1997. "Fast accurate binomial pricing," Finance and Stochastics, Springer, vol. 2(1), pages 3-17.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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