Valuation of segregated funds: shout options with maturity extensions. (Q1413278)

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Valuation of segregated funds: shout options with maturity extensions.
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    title
    Valuation of segregated funds: shout options with maturity extensions. (English)
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    author
    H. Windcliff
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    Q175883
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    Kenneth Vetzal
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    publication date
    16 November 2003
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    zbMATH DE Number
    2003989
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    zbMATH Keywords
    Maturity guarantees
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    Option pricing
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    Linear complementarity
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