On pricing arithmetic average reset options with multiple reset dates in a lattice framework
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Publication:633988
DOI10.1016/j.cam.2011.05.041zbMath1218.91168OpenAlexW2139441884MaRDI QIDQ633988
Emilio Russo, Massimo Costabile, Ivar Massabò
Publication date: 2 August 2011
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2011.05.041
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem ⋮ Valuation on an outside-reset option with multiple resettable levels and dates
Cites Work
- The Pricing of Options and Corporate Liabilities
- Convergence of numerical methods for valuing path-dependent options using interpolation
- ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Convergence of Binomial Tree Methods for European/American Path-Dependent Options
- Option pricing: A simplified approach