Journal article

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

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Hambly, B., Mariapragassam, M., & Reisinger, C. (2016). A forward equation for barrier options under the Brunick & Shreve Markovian projection. Quantitative Finance, 16(6), 827–838.

MLA Style

Hambly, B, et al. “A Forward Equation for Barrier Options under the Brunick Shreve Markovian Projection.” Quantitative Finance, vol. 16, no. 6, 2016, pp. 827–38.

Chicago Style

Hambly, B, M Mariapragassam, and C Reisinger. 2016. “A Forward Equation for Barrier Options under the Brunick Shreve Markovian Projection.” Quantitative Finance 16 (6): 827–38.
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Files:: forwardEquationBarrier_Paper_Master.pdf

(Preview, Accepted manuscript, pdf, 1016.7KB, Terms of use)

Publisher copy:: 10.1080/14697688.2015.1099718

Authors

+ Hambly, B More by this author

Role:: Author

+ Mariapragassam, M More by this author

Role:: Author

+ Reisinger, C More by this author

Institution:: University of Oxford
Oxford college:: St Catherine's College
Role:: Author

Publisher:: Taylor and Francis
Journal:: Quantitative Finance More from this journal
Volume:: 16
Issue:: 6
Pages:: 827-838
Publication date:: 2016-06-02
Acceptance date:: 2015-09-17
DOI:: 10.1080/14697688.2015.1099718
EISSN:: 1469-7696
ISSN:: 1469-7688

Keywords:: SBTMR
Pubs id:: pubs:620323
UUID:: uuid:7fec8d5f-7857-41d0-bb77-9ffe27e2c5be
Local pid:: pubs:620323
Source identifiers:: 620323
Deposit date:: 2017-01-31
ARK identifier:: ark:/29072/ora_7fec8d5f785741d0bb779ffe27e2c5be

Terms of use

Copyright holder:: Informa UK Ltd trading as Taylor and Francis Group
Copyright date:: 2016
Notes:: © 2016 Informa UK Limited, trading as Taylor and Francis Group. This is the accepted manuscript version of the article. The final version is available online from Taylor and Francis at: 10.1080/14697688.2015.1099718

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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