Pricing Guaranteed Return Rate Products and Discretely Sampled Asian Options

We demonstrate a fast and numerically stable pricing algorithm that can determine the price of a guaranteed rate product, as well as its sensitivity to changes in the market (the Greeks) both for lognormal and jump-diffusion asset price processes, with almost machine precision in a fraction of a second

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Year of publication:	[2008]
Authors:	Iseger, Peter den
Other Persons:	Oldenkamp, Emöke (contributor)
Publisher:	[2008]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Journal of Computational Finance, Vol. 9, No. 3, 2006 Volltext nicht verfügbar
Classification:	G13 - Contingent Pricing; Futures Pricing ; G22 - Insurance; Insurance Companies ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012773380