Valuing of timer path-dependent options

DOI10.1016/j.matcom.2023.08.010MaRDI QIDQ6089609

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Publication date: 13 November 2023

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

method of imagesMonte Carlo simulationasymptotic analysispath-dependent optiontimer option

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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