A Finite-Dimensional Approximation for Pricing Moving Average Options (Q5388693)
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scientific article; zbMATH DE number 6025789
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Finite-Dimensional Approximation for Pricing Moving Average Options |
scientific article; zbMATH DE number 6025789 |
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A Finite-Dimensional Approximation for Pricing Moving Average Options (English)
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19 April 2012
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American options
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indexed swing options
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moving average
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finite-dimensional approximation
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Laguerre polynomial
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least squares Monte Carlo
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