Pricing the exotic: path-dependent american options with stochastic barriers
Year of publication: |
[2021]
|
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Authors: | Rojas-Bernal, Alejandro ; Villamizar-Villegas, Mauricio ; Garriga, Carlos |
Publisher: |
Bogotá, Colombia : Banco de la Republica Colombia |
Subject: | option pricing | exotic currency options | ratchet options | Asian options | American options | Barrier options | Weighted Time Value methodology | Least Squares Monte Carlo | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model | Experiment |
Extent: | 1 Online-Ressource (circa 44 Seiten) Illustrationen |
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Series: | Borradores de economía. - Bogotá, ZDB-ID 2729161-3. - Vol. no. 1156 (2021) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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