PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (Q4226853)

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scientific article; zbMATH DE number 1253656
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PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
scientific article; zbMATH DE number 1253656

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    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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