An improved combinatorial approach for pricing Parisian options
type: Item
instance of: scholarly article
title: An improved combinatorial approach for pricing Parisian options
zbMATH Open document ID: 1202.91322
author: Yuh-Dauh Lyuu
author: Chengwei Wu
published in: Decisions in Economics and Finance
publication date: 2010-04-26T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 68R05
Mathematics Subject Classification ID: 68Q25
zbMATH DE Number: 5701504
zbMATH Keywords: Parisian option
zbMATH Keywords: option pricing
zbMATH Keywords: binomial tree model
zbMATH Keywords: combinatorial method
MaRDI profile type: Publication
full work available at URL: s10203-009-0099-2
OpenAlex ID: W2086261081
cites work: PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
cites work: Brownian Excursions and Parisian Barrier Options
cites work: Introduction to algorithms
cites work: A combinatorial approach for pricing Parisian options.
cites work: Option pricing: A simplified approach
cites work: Q4794126
cites work: Financial engineering and computation. Principles, mathematics, algorithms
cites work: Q4540541
cites work: Brownian excursions and Parisian barrier options: a note
cites work: A course in combinatorics.
DOI: 10.1007/S10203-009-0099-2
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description: scientific article; zbMATH DE number 5701504