LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION
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Publication:5700135
DOI10.1111/j.1467-9965.2005.00254.xzbMath1107.91049arXivmath/0212251OpenAlexW3125092672MaRDI QIDQ5700135
Publication date: 27 October 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0212251
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity ⋮ Multi-asset American options and parallel quantization ⋮ Higher-order interpolated lattice schemes for multidimensional option pricing problems ⋮ Regression methods in pricing American and Bermudan options using consumption processes
Uses Software
Cites Work
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- Numerical Valuation of High Dimensional Multivariate European Securities
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- On Distributions of Certain Wiener Functionals
- The elements of statistical learning. Data mining, inference, and prediction
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