Efficient willow tree method for European-style and American-style moving average barrier options pricing (Q4555115)
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scientific article; zbMATH DE number 6981232
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient willow tree method for European-style and American-style moving average barrier options pricing |
scientific article; zbMATH DE number 6981232 |
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Efficient willow tree method for European-style and American-style moving average barrier options pricing (English)
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19 November 2018
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moving average barrier options pricing
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willow tree model
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interpolation
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binomial tree
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Monte Carlo method
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