scientific article; zbMATH DE number 1445392
From MaRDI portal
Publication:4952715
zbMath0952.91029MaRDI QIDQ4952715
Donald D. Aingworth, Jeffrey D. Oldham
Publication date: 17 January 2001
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Abstract computational complexity for mathematical programming problems (90C60) Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
Related Items (12)
Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes ⋮ Efficiently pricing European-Asian options-ultimate implementation and analysis of the AMO algorithm ⋮ A convergent quadratic-time lattice algorithm for pricing European-style Asian options ⋮ Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices ⋮ An exact subexponential-time lattice algorithm for Asian options ⋮ An efficient and accurate lattice for pricing derivatives under a jump-diffusion process ⋮ Perturbation results and monotone iterative technique for fractional evolution equations ⋮ A binomial approximation for two-state Markovian HJM models ⋮ Efficient pricing of discrete Asian options ⋮ Accurate and efficient lattice algorithms for American-style Asian options with range bounds ⋮ Adaptive placement method on pricing arithmetic average options ⋮ An efficient convergent lattice algorithm for European Asian options
This page was built for publication: