A comparison of lattice based option pricing models on the rate of convergence
From MaRDI portal
Publication:879530
DOI10.1016/j.amc.2006.06.064zbMath1286.91148MaRDI QIDQ879530
Publication date: 14 May 2007
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2006.06.064
91G60: Numerical methods (including Monte Carlo methods)
91G20: Derivative securities (option pricing, hedging, etc.)
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