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Extension of the corrected barrier approximation by Broadie,Glasserman, and Kou |
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| Authors: | Per Hörfelt |
| Institution: | 1.Department of Mathematics, Chalmers University of Technology, SE-412 96 G?teborg, Sweden (e-mail: perh@math.chalmers.se) ,SE |
| Abstract: | |
| Keywords: | : Option pricing discrete barrier options heavy traffic approximation |
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