Accurate and efficient lattice algorithms for American-style Asian options with range bounds (Q1008586)
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scientific article; zbMATH DE number 5534859
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Accurate and efficient lattice algorithms for American-style Asian options with range bounds |
scientific article; zbMATH DE number 5534859 |
Statements
Accurate and efficient lattice algorithms for American-style Asian options with range bounds (English)
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30 March 2009
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Asian option
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option pricing
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lattice
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path-dependent derivative
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range-bound algorithm
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0.887370228767395
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0.8829730749130249
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0.8596535921096802
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0.8533624410629272
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0.8504582047462463
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