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    CATS
    2007
    82views Applied Computing» more  CATS 2007»
    A Linear Time Algorithm for Pricing European Sequential Barrier Options
    13 years 6 months ago
    A Linear Time Algorithm for Pricing European Sequential Barrier Options
    Download  www.cse.unsw.edu.au
    Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial mark...
    Peng Gao, Ron van der Meyden
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    FS
    2010
    105views more  FS 2010»
    Local time and the pricing of time-dependent barrier options
    13 years 3 months ago
    Local time and the pricing of time-dependent barrier options
    Download  www2.imperial.ac.uk
    Abstract A time-dependent double-barrier option is a derivative security that delivers the terminal value φ(ST ) at expiry T if neither of the continuous time-dependent barriers b...
    Aleksandar Mijatovic
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