Convergence of numerical methods for valuing path-dependent options using interpolation
type: Item
instance of: scholarly article
title: Convergence of numerical methods for valuing path-dependent options using interpolation
zbMATH Open document ID: 1089.91022
DOI: 10.1023/A:1020823700228
author: R. Zvan
author: P. A. Forsyth
author: K. R. Vetzal
published in: Review of Derivatives Research
publication date: 2003-12-04T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 2012869
zbMATH Keywords: convergence
zbMATH Keywords: forward shooting grid
zbMATH Keywords: interpolation
zbMATH Keywords: option pricing
zbMATH Keywords: path-dependence
MaRDI profile type: Publication
full work available at URL: a:1020823700228
OpenAlex ID: W2166978937
description: scientific article; zbMATH DE number 2012869