Georgi K. Mitov

Bulgarian Academy of Science

Institute of Mathematics and Informatics

1, 15 Noemvri Str.

1040 Sofia, 1113

United States

SCHOLARLY PAPERS

1

DOWNLOADS

0

CITATIONS

0

Scholarly Papers (1)

1.

Barrier Option Pricing by Branching Processes

International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1055-1073, 2009
Posted: 21 Apr 2010
Bulgarian Academy of Science, Texas Tech University, University of Karlsruhe and EDHEC Business School

Abstract:

Barrier option, up-and-out call option, Bienayme-Galton-Watson branching process, branching process in a random environment