A new sampling strategy willow tree method with application to path-dependent option pricing (Q5397423): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/14697688.2012.762111 / rank | |||
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| Property / OpenAlex ID: W1976120407 / rank | |||
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| Property / cites work: A Finite-Dimensional Approximation for Pricing Moving Average Options / rank | |||
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| Property / cites work: Option pricing: A simplified approach / rank | |||
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| Property / cites work: Convergence of Binomial Tree Methods for European/American Path-Dependent Options / rank | |||
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| Property / cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach / rank | |||
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Latest revision as of 08:47, 7 July 2024
scientific article; zbMATH DE number 6260376
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new sampling strategy willow tree method with application to path-dependent option pricing |
scientific article; zbMATH DE number 6260376 |
Statements
A new sampling strategy willow tree method with application to path-dependent option pricing (English)
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20 February 2014
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American options
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applied mathematical finance
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derivatives pricing
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option pricing
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numerical methods for option pricing
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