Pricing equity options everywhere

DOI10.1080/14697680500039142zbMath1405.91691OpenAlexW2039047684MaRDI QIDQ4610276

Sigurd Dyrting

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680500039142

zbMATH Keywords

multiple gridsequity options pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Pricing American Options Fitting the Smile
• Pricing American Stock Options by Linear Programming
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Insights on the Effect of Land Use Choice: The Perpetual Option on the Best of Two Underlying Assets
• The Valuation of American Options on Multiple Assets
• Multigrid for American option pricing with stochastic volatility

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