Valuation of American partial barrier options
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DOI: 10.1007/s11147-012-9081-1
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More about this item
Keywords
Partial barrier option; American option; Hitting time; Barrier approximation; G13; C65;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
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