FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1602961452> ?p ?o ?g. }

• W1602961452 abstract "We present a very accurate algorithm for calculating prices of double barrier options, together with a simple set of detailed step-by-step instructions for implementing it in practice. Our algorithm works 5-10 times faster than any other known algorithm. At the same time, it involves no complicated technical tools, and can therefore be easily implemented in any programming language that supports elementary operations on real numbers.Our method applies to pricing double barrier options with arbitrary terminal payoff functions under Kou's model (a.k.a. the double-exponential jump-diffusion model), as well as generalizations of Kou's model that are referred to as hyper-exponential jump-diffusion (HEJD) models. Extensive numerical tests demonstrate excellent agreement of our results with those obtained using other approaches." @default.
• W1602961452 created "2016-06-24" @default.
• W1602961452 creator A5072019000 @default.
• W1602961452 creator A5083054537 @default.
• W1602961452 date "2008-01-01" @default.
• W1602961452 modified "2023-09-26" @default.
• W1602961452 title "User's Guide to Pricing Double Barrier Options. Part I: Kou's Model and Generalizations" @default.
• W1602961452 cites W1560701773 @default.
• W1602961452 cites W1589075294 @default.
• W1602961452 cites W1785354277 @default.
• W1602961452 cites W1985195564 @default.
• W1602961452 cites W1991070483 @default.
• W1602961452 cites W1991588072 @default.
• W1602961452 cites W1995453571 @default.
• W1602961452 cites W2023970747 @default.
• W1602961452 cites W2024746190 @default.
• W1602961452 cites W2043422728 @default.
• W1602961452 cites W2052619408 @default.
• W1602961452 cites W2053880738 @default.
• W1602961452 cites W2077791698 @default.
• W1602961452 cites W2090789457 @default.
• W1602961452 cites W2147061613 @default.
• W1602961452 cites W2199936864 @default.
• W1602961452 cites W2462356897 @default.
• W1602961452 cites W2469090776 @default.
• W1602961452 cites W2470653642 @default.
• W1602961452 cites W2472233234 @default.
• W1602961452 cites W3122167020 @default.
• W1602961452 cites W3124397939 @default.
• W1602961452 cites W3124480685 @default.
• W1602961452 cites W3124505453 @default.
• W1602961452 cites W3124960227 @default.
• W1602961452 cites W3124989200 @default.
• W1602961452 cites W4232294594 @default.
• W1602961452 cites W4240323515 @default.
• W1602961452 doi "https://doi.org/10.2139/ssrn.1272081" @default.
• W1602961452 hasPublicationYear "2008" @default.
• W1602961452 type Work @default.
• W1602961452 sameAs 1602961452 @default.
• W1602961452 citedByCount "5" @default.
• W1602961452 countsByYear W16029614522014 @default.
• W1602961452 countsByYear W16029614522017 @default.
• W1602961452 countsByYear W16029614522019 @default.
• W1602961452 countsByYear W16029614522021 @default.
• W1602961452 crossrefType "journal-article" @default.
• W1602961452 hasAuthorship W1602961452A5072019000 @default.
• W1602961452 hasAuthorship W1602961452A5083054537 @default.
• W1602961452 hasConcept C111472728 @default.
• W1602961452 hasConcept C11413529 @default.
• W1602961452 hasConcept C121332964 @default.
• W1602961452 hasConcept C126255220 @default.
• W1602961452 hasConcept C134306372 @default.
• W1602961452 hasConcept C138060521 @default.
• W1602961452 hasConcept C138885662 @default.
• W1602961452 hasConcept C144237770 @default.
• W1602961452 hasConcept C149782125 @default.
• W1602961452 hasConcept C151376022 @default.
• W1602961452 hasConcept C177264268 @default.
• W1602961452 hasConcept C194483076 @default.
• W1602961452 hasConcept C199360897 @default.
• W1602961452 hasConcept C22171661 @default.
• W1602961452 hasConcept C2779664074 @default.
• W1602961452 hasConcept C2779664328 @default.
• W1602961452 hasConcept C2780586882 @default.
• W1602961452 hasConcept C2780695682 @default.
• W1602961452 hasConcept C28826006 @default.
• W1602961452 hasConcept C33923547 @default.
• W1602961452 hasConcept C41008148 @default.
• W1602961452 hasConcept C49016629 @default.
• W1602961452 hasConcept C62520636 @default.
• W1602961452 hasConcept C69357855 @default.
• W1602961452 hasConcept C76155785 @default.
• W1602961452 hasConcept C97355855 @default.
• W1602961452 hasConceptScore W1602961452C111472728 @default.
• W1602961452 hasConceptScore W1602961452C11413529 @default.
• W1602961452 hasConceptScore W1602961452C121332964 @default.
• W1602961452 hasConceptScore W1602961452C126255220 @default.
• W1602961452 hasConceptScore W1602961452C134306372 @default.
• W1602961452 hasConceptScore W1602961452C138060521 @default.
• W1602961452 hasConceptScore W1602961452C138885662 @default.
• W1602961452 hasConceptScore W1602961452C144237770 @default.
• W1602961452 hasConceptScore W1602961452C149782125 @default.
• W1602961452 hasConceptScore W1602961452C151376022 @default.
• W1602961452 hasConceptScore W1602961452C177264268 @default.
• W1602961452 hasConceptScore W1602961452C194483076 @default.
• W1602961452 hasConceptScore W1602961452C199360897 @default.
• W1602961452 hasConceptScore W1602961452C22171661 @default.
• W1602961452 hasConceptScore W1602961452C2779664074 @default.
• W1602961452 hasConceptScore W1602961452C2779664328 @default.
• W1602961452 hasConceptScore W1602961452C2780586882 @default.
• W1602961452 hasConceptScore W1602961452C2780695682 @default.
• W1602961452 hasConceptScore W1602961452C28826006 @default.
• W1602961452 hasConceptScore W1602961452C33923547 @default.
• W1602961452 hasConceptScore W1602961452C41008148 @default.
• W1602961452 hasConceptScore W1602961452C49016629 @default.
• W1602961452 hasConceptScore W1602961452C62520636 @default.
• W1602961452 hasConceptScore W1602961452C69357855 @default.
• W1602961452 hasConceptScore W1602961452C76155785 @default.
• W1602961452 hasConceptScore W1602961452C97355855 @default.
• W1602961452 hasLocation W16029614521 @default.

• next