Path-dependent game options with Asian features
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Publication:2128183
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Cites work
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- A fourth order numerical method based on B-spline functions for pricing Asian options
- A new operator splitting method for American options under fractional Black-Scholes models
- An asymptotic expansion method for geometric Asian options pricing under the double Heston model
- Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
- CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
- Error estimates for binomial approximations of game options
- Further calculations for Israeli options
- GAME CALL OPTIONS REVISITED
- Game options
- Game options in an imperfect market with default
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Hedging with risk for game options in discrete time
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- Path-dependent game options: a lookback case
- Perpetual game options with a multiplied penalty
- Pricing American-style Parisian down-and-out call options
- Pricing and hedging game options in currency models with proportional transaction costs
- Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- Primal-dual active set method for pricing American better-of option on two assets
- Properties of game options
- Semismooth Newton methods with domain decomposition for American options
- Some calculations for Israeli options
- Stochastic calculus for finance. II: Continuous-time models.
Cited in
(5)- Asian strike options of American type and game type
- Path-dependent game options: a lookback case
- Perpetual cancellable American options with convertible features
- Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
- Valuation of some game-type option with nonconstant volatility
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