Digitale Medien
Oxford, UK and Boston, USA
:
Blackwell Publishers Inc.
Mathematical finance
7 (1997), S. 0
ISSN:
1467-9965
Quelle:
Blackwell Publishing Journal Backfiles 1879-2005
Thema:
Mathematik
,
Wirtschaftswissenschaften
Notizen:
We consider the problem of pricing derivative securities which involve a barrier clause. We give general techniques to calculate, or estimate accurately, barrier option prices, using methods for estimating diffusion process boundary hitting times. The solution gives a simple, easy–to–use, method for calculating barrier option prices.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1111/1467-9965.00024
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