A forward equation for barrier options under the Brunick & Shreve Markovian projection
Hambly, Ben, Mariapragassam, Matthieu, Reisinger, ChristophVolume:
16
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2015.1099718
Date:
June, 2016
File:
PDF, 1.11 MB
english, 2016