The singular points binominal method for pricing American path-dependent options
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Publication:5411510
DOI10.21314/JCF.2010.214zbMath1284.91571MaRDI QIDQ5411510
Antonino Zanette, Maria Antonietta Lepellere, Marcellino Gaudenzi
Publication date: 23 April 2014
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.21314/jcf.2010.214
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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