A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697)
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scientific article; zbMATH DE number 7488766
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| English | A simple and efficient numerical method for pricing discretely monitored early-exercise options |
scientific article; zbMATH DE number 7488766 |
Statements
A simple and efficient numerical method for pricing discretely monitored early-exercise options (English)
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14 March 2022
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discrete option pricing
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quadrature method
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autocallable structured product
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single and double barrier option
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Bermudan option
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0.8308334350585938
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0.8216875791549683
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0.8151753544807434
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0.8126197457313538
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0.8100890517234802
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