Pricing Asian options via Fourier and Laplace transforms
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Numerical pricing of discrete barrier and lookback options via Laplace transforms
URL: www.thejournalofcomputationalfinance.com Most contracts of barrier and lookback options specify discrete monitoring policies. However, unlike their continuous counterparts, discrete barrier and lookback options essentially have no analytical solution. For a broad class of models, including the classical Brownian model and jump-diffusion models, we show that the Laplace transforms of discre...
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تاریخ انتشار 2012