A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL (Q5386318)
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scientific article; zbMATH DE number 5274474
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| English | A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL |
scientific article; zbMATH DE number 5274474 |
Statements
A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL (English)
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14 May 2008
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GARCH process
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heteroscedasticity
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Asian options
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American options
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dynamic programming
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piecewise polynomial
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0.8288185596466064
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0.8165155649185181
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0.8112697005271912
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0.8022413849830627
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0.7995120882987976
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