An efficient convergant lattice method for Asian option pricing with superlinear complexity
Ling Lu, Wei Xu and Zhehui Qian
| Year of publication: |
April 2017
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|---|---|
| Authors: | Lu, Ling ; Xu, Wei ; Qian, Zhehui |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 4, p. 1-38
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| Subject: | European Asian option pricing | willow tree model | interpolation | binomial tree | Monte Carlo method | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Monte-Carlo-Simulation | Monte Carlo simulation | Asien | Asia | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.321 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691626