A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL (Q5386318): Difference between revisions
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Revision as of 21:04, 5 March 2024
scientific article; zbMATH DE number 5274474
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL |
scientific article; zbMATH DE number 5274474 |
Statements
A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL (English)
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14 May 2008
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GARCH process
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heteroscedasticity
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Asian options
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American options
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dynamic programming
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piecewise polynomial
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