PDE methods for pricing barrier options
Article Abstract:
An implicit method to solve PDE models of contingent claims prices with algebraic constraints is presented.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
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The valuation of American barrier options using the decomposition technique
Article Abstract:
An alternative method for pricing and hedging American barrier options is considered.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
Hedging (Finance)
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
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Binomial valuation of lookback options
Article Abstract:
A binomial approximation method for the valuation of lookback options is presented.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
Usage, Binomial theorem
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2000
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Subjects list: Models, Options (Finance)
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