Path-dependent American options
Etienne Chevalier, Vathana Ly Vath and Mohamed Mnif
| Year of publication: |
2019
|
|---|---|
| Authors: | Chevalier, Etienne ; Ly Vath, Vathana ; Mnif, Mohamed |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 1, p. 61-95
|
| Subject: | stochastic control | path-dependent viscosity solutions | numerical scheme | variational inequalities | American options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2019.369 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012064988