Convergence of numerical methods for valuing path-dependent options using interpolation
Year of publication: |
2002
|
---|---|
Authors: | Forsyth, P. ; Vetzal, K. ; Zvan, R. |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 5.2002, 3, p. 273-314
|
Publisher: |
Springer |
Subject: | Convergance | forward shooting grid | interpolation | option pricing | path-dependence |
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