An improved combinatorial approach for pricing Parisian options
From MaRDI portal
Publication:965783
DOI10.1007/s10203-009-0099-2zbMath1202.91322MaRDI QIDQ965783
Publication date: 26 April 2010
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-009-0099-2
91G60: Numerical methods (including Monte Carlo methods)
68Q25: Analysis of algorithms and problem complexity
68R05: Combinatorics in computer science
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A combinatorial approach for pricing Parisian options.
- PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
- Brownian Excursions and Parisian Barrier Options
- Brownian excursions and Parisian barrier options: a note
- Option pricing: A simplified approach