The singular points binominal method for pricing American path-dependent options
From MaRDI portal
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.)
Related Items
A bivariate model for evaluating equity-linked policies with surrender option, An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting, Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices, Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model, Pricing cliquet options by tree methods, Efficient pricing of discrete Asian options, Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model, An accurate binomial model for pricing American Asian option, Pricing American barrier options with discrete dividends by binomial trees