| Tekijä: | Leisen, D. P. J. |
| Otsikko: | Valuation of barrier options in a Black-Scholes setup with jump risk |
| Lehti: | European Finance Review
1999 : VOL. 3:3, p. 319-342 |
| Asiasana: | Options Models Valuation |
| Kieli: | eng |
| Tiivistelmä: | The paper discusses the pitfalls in the pricing of barrier options using approximations of the underlying continuous processes via discrete lattice models. To prevent from numerical deficiencies, the space axis is discretized first, and not the time axis. |
SCIMA