An Efficient, and Fast Convergent Algorithm for Barrier Options

Tian-Shyr Dai, Yuh-Dauh Lyuu. An Efficient, and Fast Convergent Algorithm for Barrier Options. In Ming-Yang Kao, Xiang-Yang Li, editors, Algorithmic Aspects in Information and Management, Third International Conference, AAIM 2007, Portland, OR, USA, June 6-8, 2007, Proceedings. Volume 4508 of Lecture Notes in Computer Science, pages 251-261, Springer, 2007. [doi]

Abstract

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