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"Fast Numerical Pricing of Barrier Options under Stochastic Volatility and ..."

Chiara Guardasoni, Simona Sanfelici (2016)

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DOI: 10.1137/15100504X

access: closed

type: Journal Article

metadata version: 2020-05-20

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Chiara Guardasoni, Simona Sanfelici:
Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps. SIAM J. Appl. Math. 76(1): 27-57 (2016)

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