A convergent quadratic-time lattice algorithm for pricing European-style Asian options (Q2383617): Difference between revisions
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Revision as of 10:35, 12 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A convergent quadratic-time lattice algorithm for pricing European-style Asian options |
scientific article |
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A convergent quadratic-time lattice algorithm for pricing European-style Asian options (English)
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19 September 2007
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Option pricing
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binomial model
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trinomial model
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path-dependent derivative
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Asian option
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complexity
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Lagrange multiplier
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PDE
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lattice
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