EXOTIC OPTIONS: Iterating cancellable snowballs and related exotics - Effective valuation procedures for callable exotics are a thorny problem. In particular, standard methods reveal limitations in pricing many-dimensional and path-dependent products, such as cancellable snowballs. The authors ally these methods with their recent iterative methodology, thus filling the final gap.
| Year of publication: |
2006
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| Authors: | Sender, Christian ; Kolodo, Anastasia ; Schoenmakers, John |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 9, p. 126
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