A forward equation for barrier options under the Brunick & Shreve Markovian projection

Author: 

Hambly, B
Reisinger, C
Mariapragassam, M

Publication Date: 

2 June 2016

Journal: 

Quantitative Finance

Last Updated: 

2020-01-22T10:40:07.86+00:00

Issue: 

6

Volume: 

16

DOI: 

10.1080/14697688.2015.1099718

page: 

827-838

Symplectic id: 

620323

Submitted to ORA: 

Not Submitted

Publication Type: 

Journal Article