Numerical Methods for Discrete Double Barrier Option Pricing Based on Merton Jump Diffusion Model
نویسندگان
چکیده
منابع مشابه
Numerical Methods for Discrete DoubleBarrier Option Pricing Based on Merton Jump Diffusion Model
As a kind of weak-path dependent options, barrier options are an important kind of exotic options. Because the pricing formula for pricing barrier options with discrete observations cannot avoid computing a high dimensional integral, numerical calculation is time-consuming. In the current studies, some scholars just obtained theoretical derivation, or gave some simulation calculations. Others i...
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ژورنال
عنوان ژورنال: Open Journal of Statistics
سال: 2017
ISSN: 2161-718X,2161-7198
DOI: 10.4236/ojs.2017.73032