Fast binomial procedures for pricing Parisian/ParAsian options
type: Item
instance of: scholarly article
title: Fast binomial procedures for pricing Parisian/ParAsian options
zbMATH Open document ID: 1416.91402
author: Marcellino Gaudenzi
author: Antonino Zanette
published in: Computational Management Science
publication date: 2018-10-10T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60C05
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 6950388
zbMATH Keywords: Parisian options
zbMATH Keywords: ParAsian options
zbMATH Keywords: tree methods
zbMATH Keywords: binomial methods
zbMATH Keywords: combinatorial formulas
MaRDI profile type: Publication
full work available at URL: s10287-017-0278-5
OpenAlex ID: W2240848992
cites work: PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
cites work: A combinatorial approach for pricing Parisian options.
cites work: Option pricing: A simplified approach
cites work: Q5538132
cites work: Counting paths on a chessboard with a barrier
cites work: Pricing American barrier options with discrete dividends by binomial trees
cites work: An improved combinatorial approach for pricing Parisian options
DOI: 10.1007/S10287-017-0278-5
description: scientific article; zbMATH DE number 6950388