PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (Q4226853)
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scientific article; zbMATH DE number 1253656
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS |
scientific article; zbMATH DE number 1253656 |
Statements
PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (English)
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26 May 1999
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Asian options
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lookback options
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pricing path-dependent contingent claims
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Black-Scholes valuation framework
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degenerate advection-diffusion partial differential equation
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forward shooting grid
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American options
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degenerate diffusions
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0.775489866733551
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0.774182915687561
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0.774048924446106
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0.773809552192688
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0.7737452387809753
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