A Finite-Dimensional Approximation for Pricing Moving Average Options
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Publication:5388693
DOI10.1137/100815566zbMath1236.91129arXiv1011.3599OpenAlexW1544954649MaRDI QIDQ5388693
Marie Bernhart, Xavier Warin, Peter Tankov
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.3599
Laguerre polynomialAmerican optionsfinite-dimensional approximationmoving averageleast squares Monte Carloindexed swing options
Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Derivative securities (option pricing, hedging, etc.) (91G20)
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