Efficient willow tree method for European-style and American-style moving average barrier options pricing (Q4555115)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6981232
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Efficient willow tree method for European-style and American-style moving average barrier options pricing |
scientific article; zbMATH DE number 6981232 |
Statements
Efficient willow tree method for European-style and American-style moving average barrier options pricing (English)
0 references
19 November 2018
0 references
moving average barrier options pricing
0 references
willow tree model
0 references
interpolation
0 references
binomial tree
0 references
Monte Carlo method
0 references
0 references
0.9057388
0 references
0.88857925
0 references
0.86390716
0 references
0.86091197
0 references
0.85391545
0 references
0.8509029
0 references
0.8458509
0 references
0.84505606
0 references
0.8433417
0 references
