Application of simplest random walk algorithms for pricing barrier options
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References listed on IDEAS
- Naoto Kunitomo & Masayuki Ikeda, 1992. "Pricing Options With Curved Boundaries," Mathematical Finance, Wiley Blackwell, vol. 2(4), pages 275-298.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-CMP-2012-12-10 (Computational Economics)
- NEP-FMK-2012-12-10 (Financial Markets)
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