SMEAL WIKI

The valuation of American barrier options using the decomposition technique

Bin Gao, Jing-Zhi Jay Huang, Marti G. Subrahmanyam
Year2000
VenueJournal of Economic Dynamics and Control
Typearticle
Citations97
DOI10.1016/s0165-1889(99)00093-7
OpenAlexW3123612873

Topics

Stochastic processes and financial applicationsValuation (finance)HedgeBarrier optionValuation of optionsTrinomial tree