A lattice algorithm for pricing moving average barrier options (Q975929): Difference between revisions

@@ Property / cites work @@
+Small dimension PDE for discrete Asian options
@@ Property / cites work: Small dimension PDE for discrete Asian options / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing derivatives with barriers in a stochastic interest rate environment
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Prices and sensitivities of Asian options: A survey
+Normal rank
@@ Property / cites work @@
+Improved lower and upper bound algorithms for pricing American options by simulation
+Normal rank
@@ Property / cites work @@
+A Continuity Correction for Discrete Barrier Options
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
+Normal rank
@@ Property / cites work @@
+Laguerre Series for Asian and Other Options
@@ Property / cites work: Laguerre Series for Asian and Other Options / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+Convergence of numerical methods for valuing path-dependent options using interpolation
+Normal rank
@@ Property / cites work @@
+The obstacle problem for a class of hypoelliptic ultraparabolic equations
+Normal rank
@@ Property / cites work @@
+Analysis of quadrature methods for pricing discrete barrier options
+Normal rank
@@ Property / cites work @@
+The valuation of American barrier options using the decomposition technique
+Normal rank
@@ Property / cites work @@
+BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
@@ Property / cites work: BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508420
@@ Property / cites work: Q4508420 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence of Binomial Tree Methods for European/American Path-Dependent Options
+Normal rank
@@ Property / cites work @@
+Q3779956
@@ Property / cites work: Q3779956 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4450668
@@ Property / cites work: Q4450668 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+The value of an Asian option
@@ Property / cites work: The value of an Asian option / rank @@
+Normal rank
@@ Property / cites work @@
+Practical Extrapolation Methods
@@ Property / cites work: Practical Extrapolation Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank
@@ Property / cites work @@
+PDE methods for pricing barrier options
@@ Property / cites work: PDE methods for pricing barrier options / rank @@
+Normal rank