On pricing arithmetic average reset options with multiple reset dates in a lattice framework (Q633988): Difference between revisions
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| Property / cites work: ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES / rank | |||
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| Property / cites work: Option pricing: A simplified approach / rank | |||
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| Property / cites work: Convergence of numerical methods for valuing path-dependent options using interpolation / rank | |||
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS / rank | |||
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| Property / cites work: Convergence of Binomial Tree Methods for European/American Path-Dependent Options / rank | |||
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Latest revision as of 08:22, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On pricing arithmetic average reset options with multiple reset dates in a lattice framework |
scientific article |
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On pricing arithmetic average reset options with multiple reset dates in a lattice framework (English)
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2 August 2011
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reset options
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binomial algorithms
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discrete time models
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