2024-03-29T00:51:33Z
https://repository.dl.itc.u-tokyo.ac.jp/oai
oai:repository.dl.itc.u-tokyo.ac.jp:00042873
2022-12-19T04:18:00Z
62:7433:7434
9:7435:7436
On Pricing Barrier Options with Discrete Monitoring
Shiraya, Kenichiro
Takahashi, Akihiko
Yamada, Toshihiro
metadata only access
335
discrete barrier option
barrier option
knock-out option
double barrier option
stochastic volatility
asymptotic expansion
Malliavin calculus
Malliavin weight
application/pdf
Revised in April 2010, February 2011 and August 2011; forthcoming in Asia Pacific Financial Markets.
本文フィルはリンク先を参照のこと
日本経済国際共同センター
2010-03
eng
technical report
http://hdl.handle.net/2261/35807
https://repository.dl.itc.u-tokyo.ac.jp/records/42873
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf725ab.html
AA11450569
Discussion paper series. CIRJE-F
CIRJE-F-725