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- W1514260014 abstract "Discrete barriers introduce discontinuities in the solution of the option pricing partial differential equation (PDE) at discrete barriers' observation dates. An accurate solution to the pricing PDE requires a redefinition of the initial conditions at respective barrier observation dates. Since only the initial conditions are recursively imposed on the PDE, the pricing of the discrete two-asset barrier option can be defined as a sequence of the initial value problem. Thus, the recursive integral method is a highly efficient algorithm that calculates an accurate solution for the discrete two-asset barrier option.Key words: discrete two-asset barrier option, initial value problem, recursive integral method" @default.
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- W1514260014 date "2006-08-31" @default.
- W1514260014 modified "2023-09-22" @default.
- W1514260014 title "A PDE Approach to Value the Discrete Two-Asset Barrier Option" @default.
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