EGAR Technology Inc. - Системы для финансового рынка, банковские системы

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Viktor Kazarin
"Toy Boat"
Post-Suprematism Art
EGAR Technology project




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Pricing of window knock in/global knock out options


We describe method for pricing of first-then barrier options. Method is based on solving of partial differential equation (PDE) by using Laplace transformation. For numerical integration we use Legendre method. Submitted to RISK


Mark Ioffe




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