Pricing the equity-linked and principal-protected securities with cap and path dependence
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Publication:990707
DOI10.1016/J.AMC.2007.04.115zbMath1193.91151OpenAlexW1991224444MaRDI QIDQ990707
Publication date: 1 September 2010
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2007.04.115
accuracybinomial tree model2nd-order Taylor approximationcapped and path dependent modelsquasi Monte Carlo simulation
Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)
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