Pricing exotic derivatives exploiting structure
Debora Sesana; Daniele Marazzina; Gianluca Fusai
| Year of publication: |
2014
|
|---|---|
| Authors: | Sesana, Debora ; Marazzina, Daniele ; Fusai, Gianluca |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 236.2014, 1 (1.7.), p. 369-381
|
| Subject: | CEV process | Discrete monitoring | Exotic derivatives | Matrix Factorization | Numerical quadrature | Option pricing | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010361703