Pricing Continuously Monitored Barrier Options under the...

Journal of Management Science and Engineering 2017 / 03 Vol. 2; Iss. 2

Pricing Continuously Monitored Barrier Options under the SABR Model: A Closed-Form Approximation

Yang, Nian, Liu, Yanchu, Cui, Zhenyu
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Volume:
2
Language:
english
Journal:
Journal of Management Science and Engineering
DOI:
10.3724/sp.j.1383.202006
Date:
March, 2017
File:
PDF, 366 KB
english, 2017
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