"Double Barrier Hitting Time Distribution of a Mean-reverting Lognormal ..."

Chi-Fai Lo, T. K. Chung, Cho-Hoi Hui (2007)

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type: Conference or Workshop Paper

metadata version: 2014-06-30

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Chi-Fai Lo, T. K. Chung, Cho-Hoi Hui:
Double Barrier Hitting Time Distribution of a Mean-reverting Lognormal Process and Its Application to Pricing Exotic Options. World Congress on Engineering 2007: 1000-1005

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