Browsing Book Chapters by Author "Kucera, Adam"

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Browsing Book Chapters by Author "Kucera, Adam"

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  • Chiarella, Carl; El-Hassan, Nadima; Kucera, Adam (Springer, 2008)
    The pricing of discretely monitored barrier options is a difficult problem. In general, there is no known closed form solution for pricing such options. A path integral approach to the evaluation of barrier options is ...