Convergence of numerical methods for valuing path-dependent options using interpolation
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Publication:1415462
DOI10.1023/A:1020823700228zbMath1089.91022OpenAlexW2166978937MaRDI QIDQ1415462
R. Zvan, Peter A. I. Forsyth, Kenneth Vetzal
Publication date: 4 December 2003
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1020823700228
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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