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Counting paths on a chessboard with a barrier

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Publication:708097
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DOI10.1016/j.nahs.2009.11.001zbMath1227.05039OpenAlexW2071115826MaRDI QIDQ708097

Marcellino Gaudenzi

Publication date: 11 October 2010

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2009.11.001

zbMATH Keywords

pathscounting formulasbarriersParisian optionsbinomial trees


Mathematics Subject Classification ID

Exact enumeration problems, generating functions (05A15) Derivative securities (option pricing, hedging, etc.) (91G20)


Related Items

Fast binomial procedures for pricing Parisian/ParAsian options



Cites Work

  • PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
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