The singular points binominal method for pricing American path-dependent options

DOI10.21314/JCF.2010.214zbMath1284.91571OpenAlexW2431865681MaRDI QIDQ5411510

Antonino Zanette, Maria Antonietta Lepellere, Marcellino Gaudenzi

Publication date: 23 April 2014

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2010.214

zbMATH Keywords

option pricingAmerican optionsAsian optionslookback optiontree methods

Mathematics Subject Classification ID

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

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