A rocket discarding algorithm for the valuation of Asian reset options

MaRDI QIDQ3182374zbMATH OpenFDO

Authors Yue-Xian Lin

Publication date 8 October 2009

Full work available at URL http://pphmj.com/abstract/4202.htm

zbMATH Keywords

Asianlattice approachmoving-averagepath-dependentreset

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(1)

• On pricing arithmetic average reset options with multiple reset dates in a lattice framework

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