THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS (Q2929371)

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THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS
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    title
    THE BINOMIAL INTERPOLATED LATTICE METHOD FOR STEP DOUBLE BARRIER OPTIONS (English)
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    author
    Elisa Appolloni
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    Marcellino Gaudenzi
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    Antonino Zanette
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    publication date
    12 November 2014
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    60H10
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    zbMATH DE Number
    6368708
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    zbMATH Keywords
    step double barrier options
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    American options
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    binomial method
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    interpolation
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    rate of convergence
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    OpenAlex ID
    W2109391409
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