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"Continuity Correction for Barrier Options in Jump-Diffusion Models."

El Hadj Aly Dia, Damien Lamberton (2011)

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DOI: 10.1137/100817553

access: closed

type: Journal Article

metadata version: 2017-05-17

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El Hadj Aly Dia, Damien Lamberton:
Continuity Correction for Barrier Options in Jump-Diffusion Models. SIAM J. Financial Math. 2(1): 866-900 (2011)

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