A multi-dimensional local average lattice method for multi-asset models (Q5397424)

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scientific article; zbMATH DE number 6260377
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A multi-dimensional local average lattice method for multi-asset models
scientific article; zbMATH DE number 6260377

    Statements

    title
    A multi-dimensional local average lattice method for multi-asset models (English)
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    author
    Kyoung-Sook Moon
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    Hongjoong Kim
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    publication date
    20 February 2014
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    zbMATH Keywords
    lattice method
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    local average
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    multi-asset option pricing
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    American options
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    Identifiers

    zbMATH DE Number
    6260377
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    OpenAlex ID
    W1991646641
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