An efficient grid lattice algorithm for pricing American-style options
Zhongkai Liu, Tao Pang
| Year of publication: |
2016
|
|---|---|
| Authors: | Liu, Zhongkai ; Pang, Tao |
| Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 5.2016, 1, p. 36-55
|
| Subject: | lattice algorithm | time adjusted grid lattice | European options | American options | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Algorithmus | Algorithm | Mathematische Optimierung | Mathematical programming | Computernetz | Computer network | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011589162