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Fluctuation identities with continuous monitoring and their application to the pricing of barrier options
Phelan, Carolyn E., Marazzina, Daniele, Fusai, Gianluca, Germano, GuidoVolume:
271
Language:
english
Journal:
European Journal of Operational Research
DOI:
10.1016/j.ejor.2018.04.016
Date:
November, 2018
File:
PDF, 1.27 MB
english, 2018