A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple and efficient numerical method for pricing discretely monitored early-exercise options |
scientific article |
Statements
A simple and efficient numerical method for pricing discretely monitored early-exercise options (English)
0 references
14 March 2022
0 references
discrete option pricing
0 references
quadrature method
0 references
autocallable structured product
0 references
single and double barrier option
0 references
Bermudan option
0 references
0 references
0 references
0 references
0 references
0 references
0 references
