Pricing the equity-linked and principal-protected securities with cap and path dependence (Q990707)
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scientific article; zbMATH DE number 5777149
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing the equity-linked and principal-protected securities with cap and path dependence |
scientific article; zbMATH DE number 5777149 |
Statements
Pricing the equity-linked and principal-protected securities with cap and path dependence (English)
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1 September 2010
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capped and path dependent models
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2nd-order Taylor approximation
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binomial tree model
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quasi Monte Carlo simulation
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accuracy
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