haku: @indexterm OPTION VALUATION / yhteensä: 37
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| Tekijä: | Luo, L. S. J. |
| Otsikko: | Various types of double-barrier options |
| Lehti: | Journal of Computational Finance
2001 : SPRING, VOL. 4:3, p. 125-138 |
| Asiasana: | OPTIONS OPTION PRICES OPTION VALUATION |
| Kieli: | eng |
| Tiivistelmä: | Closed-form solutions for eight types of European-style double- barrier options are derived. Any double-barrier options are linear combinations of double knock-out options, single-barrier and vanilla options. Error estimates for numerical valuation of double-barrier options are also derived. |
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