Add to ORKGPath-dependent options are options whose payoff depends nontrivially on the price history of an asset. They play an important role in financial markets. Unfortunately, pricing path-dependent options could be difficult in terms of speed and/or accuracy.The Asian option is one of the most prominent examples
In the context of dealing with financial risk management problems, it is desirable to have accurate ...
Thanks to the reduced price and less exposition to sudden crashes or price hikes, the Asian option i...
Asian options are European style options where the payoff depends on the average price during at lea...
Path-dependent derivative Range-bound algorithm right to buy a stock) at the maturity date if the st...
This paper will mainly focus on a path-dependent option—Asian options. The value of a path-dependent...
[[abstract]]Financial options whose payoff depends critically on historical prices are called path-d...
[[abstract]]Financial options whose payoff depends critically on historical prices are called path-d...
UnrestrictedAn Asian option is a path-dependent option whose payoff depends on the average price of ...
Abstract. In this article we study arithmetic Asian options when the underlying stock is driven by s...
Financial options whose payo ffdepends critically on historical prices are called path- dependent opt...
Asian options are important path-dependent derivatives. The aim of this paper is to compare two bino...
Asian options are popular path-dependent options and it has been a long-standing problem to price th...
In this chapter, we describe and compare alternative procedures for pricing Asian options. Asian op...
The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Sch...
Pricing path-dependent American options is difficult since the number of paths through a binomial tr...
In the context of dealing with financial risk management problems, it is desirable to have accurate ...
Thanks to the reduced price and less exposition to sudden crashes or price hikes, the Asian option i...
Asian options are European style options where the payoff depends on the average price during at lea...
Path-dependent derivative Range-bound algorithm right to buy a stock) at the maturity date if the st...
This paper will mainly focus on a path-dependent option—Asian options. The value of a path-dependent...
[[abstract]]Financial options whose payoff depends critically on historical prices are called path-d...
[[abstract]]Financial options whose payoff depends critically on historical prices are called path-d...
UnrestrictedAn Asian option is a path-dependent option whose payoff depends on the average price of ...
Abstract. In this article we study arithmetic Asian options when the underlying stock is driven by s...
Financial options whose payo ffdepends critically on historical prices are called path- dependent opt...
Asian options are important path-dependent derivatives. The aim of this paper is to compare two bino...
Asian options are popular path-dependent options and it has been a long-standing problem to price th...
In this chapter, we describe and compare alternative procedures for pricing Asian options. Asian op...
The thesis considers the pricing of European path-dependent options in a multi-dimensional Black-Sch...
Pricing path-dependent American options is difficult since the number of paths through a binomial tr...
In the context of dealing with financial risk management problems, it is desirable to have accurate ...
Thanks to the reduced price and less exposition to sudden crashes or price hikes, the Asian option i...
Asian options are European style options where the payoff depends on the average price during at lea...