The decoupling approach to binomial pricing of multi-asset options
From MaRDI portal
Publication:3643086
DOI10.21314/JCF.2009.207zbMath1173.91367MaRDI QIDQ3643086
Publication date: 10 November 2009
Published in: The Journal of Computational Finance (Search for Journal in Brave)
Related Items (8)
Time Consistency of the Mean-Risk Problem ⋮ American and Bermudan options in currency markets with proportional transaction costs ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ Set-valued average value at risk and its computation ⋮ AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs ⋮ Benson type algorithms for linear vector optimization and applications ⋮ AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
This page was built for publication: The decoupling approach to binomial pricing of multi-asset options