Pricing algorithms of multivariate path dependent options

DOI10.1006/jcom.2001.0594zbMath0996.91070OpenAlexW2046319003WikidataQ60148477 ScholiaQ60148477MaRDI QIDQ1347857

Yue Kuen Kwok, Ka Wo Lau, Hoi Ying Wong

Publication date: 6 November 2002

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jcom.2001.0594

zbMATH Keywords

financial marketspath dependent optionsdiffusion type equationspricing methods

Mathematics Subject Classification ID

Related Items

American continuous-installment options of barrier type, An artificial boundary method for the Hull-White model of American interest rate derivatives, Pricing external barrier options under a stochastic volatility model, PRICING CHAINED OPTIONS WITH CURVED BARRIERS

Cites Work

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• The Pricing of Options and Corporate Liabilities
• The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
• Pricing Multi-Asset Options with an External Barrier
• A Continuity Correction for Discrete Barrier Options
• Double Lookbacks