Geodesic
On the rate of convergence of barrier
Teoriâ slučajnyh processov, Tome 14 (2008) no. 4, pp. 165-173.

Voir la notice de l'article provenant de la source Math-Net.Ru

@article{THSP_2008_14_4_a4,
     author = {Olena Soloveiko and Georgiy Shevchenko},
     title = {On the rate of convergence of barrier},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {165--173},
     publisher = {mathdoc},
     volume = {14},
     number = {4},
     year = {2008},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2008_14_4_a4/}
}
TY  - JOUR
AU  - Olena Soloveiko
AU  - Georgiy Shevchenko
TI  - On the rate of convergence of barrier
JO  - Teoriâ slučajnyh processov
PY  - 2008
SP  - 165
EP  - 173
VL  - 14
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/THSP_2008_14_4_a4/
LA  - en
ID  - THSP_2008_14_4_a4
ER  - 
%0 Journal Article
%A Olena Soloveiko
%A Georgiy Shevchenko
%T On the rate of convergence of barrier
%J Teoriâ slučajnyh processov
%D 2008
%P 165-173
%V 14
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/THSP_2008_14_4_a4/
%G en
%F THSP_2008_14_4_a4
Olena Soloveiko; Georgiy Shevchenko. On the rate of convergence of barrier. Teoriâ slučajnyh processov, Tome 14 (2008) no. 4, pp. 165-173. http://geodesic.mathdoc.fr/item/THSP_2008_14_4_a4/

[1] Broadie, M., Glasserman, P., Kou, S. G., “A continuity correction for discrete barrier options”, Math. Finance, 7 (1997), 325–349 | DOI | MR | Zbl

[2] Broadie, M., Glasserman, P., Kou, S. G., “Connecting discrete and continuous path-dependent options”, Fin.Stoch., 3 (1999), 55–82 | DOI | MR | Zbl

[3] Csáki, E., Földes A., Salminen P., “On the joint distribution of the maximum and its location for a linear diffusion”, Ann. Inst. Henri Poincaré, Probab. Stat., 23 (1987), 179–194 | MR | Zbl

[4] Hŏrfelt, P., “Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou”, Fin.Stoch., 7 (2003), 231–243 | DOI | MR

[5] Komlós, J.,Major, P.,Tusnády, G., “An approximation of partial sums of independent RV’s and the sample DF. II”, Z. Wahrscheinlichkeitstheor. Verw. Geb., 34 (1976), 33–58 | DOI | MR | Zbl

[6] Kou, S. G., “On pricing of discrete barrier options”, Statistika Sinica, 13 (2003), 955–964 | MR | Zbl

[7] Merton, R. C., “Theory of rational option pricing”, Bell J.Econom.Manage. Sci., 4 (1973), 141–183 | DOI | MR | Zbl

[8] Soloveiko, O., Shevchenko, G., “The rate of convergence of barrier option price with non-constant drift in discrete time to such in continuous time”, Theory Probab. Math. Stat., 79 (2008), 166–172 | MR