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A Continuity Correction for Discrete Barrier Options
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A Continuity Correction for Discrete Barrier Options
A Continuity Correction for Discrete Barrier Options
Mark Broadie
Mark Broadie
PG
Paul Glasserman
Paul Glasserman
SK
Steven Kou
Steven Kou
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1 October 1997
journal article
Published by
Wiley
in
Mathematical Finance
Vol. 7
(4)
,
325-349
https://doi.org/10.1111/1467-9965.00035
Abstract
No abstract available
Keywords
PATH-DEPENDENT OPTIONS
SIEGMUND'S CORRECTED DIFFUSION APPROXIMATION
LEVEL CROSSING PROBABILITIES
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