Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series

2020 ◽  
Vol 20 (8) ◽  
pp. 1307-1324
Author(s):  
Tat Lung (Ron) Chan ◽  
Nicholas Hale
Keyword(s):  
Barrier Options ◽  
Legendre Series ◽  
Early Exercise

scholarly journals Pricing early-exercise and discrete barrier options by Shannon wavelet expansions

2017 ◽  
Vol 136 (4) ◽  
pp. 1035-1070 ◽  
Author(s):  
S. C. Maree ◽  
L. Ortiz-Gracia ◽  
C. W. Oosterlee
Keyword(s):  
Barrier Options ◽  
Early Exercise ◽  
Wavelet Expansions ◽  
Shannon Wavelet

Effects of early exercise on metacarpophalangeal joints in horses

2010 ◽  
Vol 236 (8) ◽  
pp. 891-891
Author(s):  
Chris E. Kawcak ◽  
C. Wayne McIlwraith ◽  
Elwyn C. Firth
Keyword(s):  
Early Exercise ◽  
Metacarpophalangeal Joints

Discrete Asian barrier options

1999 ◽  
Vol 3 (1) ◽  
pp. 41-67 ◽  
Author(s):  
R Zvan ◽  
P Forsyth ◽  
K Vetzal
Keyword(s):  
Barrier Options

Static Replication of Barrier Options: Some General Results

2000 ◽  
Author(s):  
Leif B.G. Andersen ◽  
Jesper Andreasen ◽  
David A. Eliezer
Keyword(s):  
Barrier Options
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