Pricing algorithms of multivariate path dependent options
type: Item
instance of: scholarly article
title: Pricing algorithms of multivariate path dependent options
zbMATH Open document ID: 0996.91070
author: Yue Kuen Kwok
author: Hoi Ying Wong
author: Ka Wo Lau
published in: Journal of Complexity
publication date: 2002-11-06T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1736580
zbMATH Keywords: financial markets
zbMATH Keywords: path dependent options
zbMATH Keywords: pricing methods
zbMATH Keywords: diffusion type equations
MaRDI profile type: Publication
full work available at URL: jcom.2001.0594
OpenAlex ID: W2046319003
cites work: The pricing of options and corporate liabilities
cites work: A continuity correction for discrete barrier options
cites work: The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
cites work: Double lookbacks
cites work: Q4349551
cites work: Pricing multi-asset options with an external barrier
Wikidata QID: Q60148477
DOI: 10.1006/JCOM.2001.0594
description: scientific article; zbMATH DE number 1736580