Valuation of European continuous-installment options
From MaRDI portal
Publication:660913
DOI10.1016/j.camwa.2011.04.073zbMath1231.91428MaRDI QIDQ660913
Publication date: 5 February 2012
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.04.073
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Unnamed Item, OPTIMAL SURRENDER TIME FOR A VARIABLE ANNUITY WITH A FIXED INSURANCE FEE, Pricing American continuous-installment options under stochastic volatility model, American continuous-installment options of barrier type
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