PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (Q4226853)
From MaRDI portal
scientific article; zbMATH DE number 1253656
Language | Label | Description | Also known as |
---|---|---|---|
English | PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS |
scientific article; zbMATH DE number 1253656 |
Statements
PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (English)
0 references
26 May 1999
0 references
Asian options
0 references
lookback options
0 references
pricing path-dependent contingent claims
0 references
Black-Scholes valuation framework
0 references
degenerate advection-diffusion partial differential equation
0 references
forward shooting grid
0 references
American options
0 references
degenerate diffusions
0 references
0 references