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Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier
Kulik, O. M., Mishura, Yu. S., Soloveĭko, O. M.Volume:
81
Year:
2010
Language:
english
Journal:
Theory of Probability and Mathematical Statistics
DOI:
10.1090/s0094-9000-2011-00814-9
File:
PDF, 475 KB
english, 2010