Continuously monitored barrier options under Markov processes

File(s)

0908.4028v2.pdf (433.43 KB)

Accepted version

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Author(s)

Mijatovic, A

Pistorius, M

Type

Journal Article

Editor(s)

Madan, DB

Date Issued

2011-06-05

Citation

Mathematical Finance, 2011, 23 (1), pp.1-38

URI

http://hdl.handle.net/10044/1/22028

DOI

https://www.dx.doi.org/10.1111/j.1467-9965.2011.00486.x

ISSN

1467-9965

Publisher

Wiley

Start Page

1

End Page

38

Journal / Book Title

Mathematical Finance

Volume

23

Issue

1

Copyright Statement

This is the peer reviewed version of the following article: Mijatović, A. and Pistorius, M. (2013), CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES. Mathematical Finance, 23: 1–38. doi: 10.1111/j.1467-9965.2011.00486.x, which has been published in final form at [http://onlinelibrary.wiley.com/doi/10.1111/j.1467-9965.2011.00486.x/abstract].  This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.

License URL

http://www.rioxx.net/licenses/all-rights-reserved

Publication Status

Published