A convergent quadratic-time lattice algorithm for pricing European-style Asian options (Q2383617): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2094562251 / rank | |||
Normal rank | |||
Revision as of 00:49, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A convergent quadratic-time lattice algorithm for pricing European-style Asian options |
scientific article |
Statements
A convergent quadratic-time lattice algorithm for pricing European-style Asian options (English)
0 references
19 September 2007
0 references
Option pricing
0 references
binomial model
0 references
trinomial model
0 references
path-dependent derivative
0 references
Asian option
0 references
complexity
0 references
Lagrange multiplier
0 references
PDE
0 references
lattice
0 references
