Lie-algebraic approach for pricing moving barrier options with time-dependent parameters

Journal of Mathematical Analysis and Applications - Tập 323 Số 2 - Trang 1455-1464 - 2006
Chi‐Fai Lo1, Cho‐Hoi Hui2
1Institute of Theoretical Physics and Department of Physics, The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong, China
2Research Department, Hong Kong Monetary Authority, Central, Hong Kong, China

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