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An exact analytical solution for discrete barrier options |
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| Authors: | Gianluca Fusai I. David Abrahams Carlo Sgarra |
| Affiliation: | (1) Dipartimento SEMEQ, Universitá degli Studi del Piemonte Orientale, Via Perrone 18, 28100 Novara, Italy;(2) Present address: Italy and Associate Fellow, Financial Options Research Centre, Warwick Business School, UK;(3) Department of Mathematics, University of Manchester, Oxford Road, M13 9PL Manchester, UK;(4) Dipartimento di Matematica, Politecnico di Milano, IV Facoltá di Ingegneria, Via La Masa 34, 20158 Milano, Italy |
| Abstract: | |
| Keywords: | Barrier options discrete monitoring Wiener-Hopf equation Black-Scholes z-transform |
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