Flexible-forward pricing through Leisen-Reimer trees : implementation and performance comparison with traditional Markov chains
Pier Giuseppe Giribone and Simone Ligato
| Year of publication: |
June 2016
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|---|---|
| Authors: | Giribone, Pier Giuseppe ; Ligato, Simone |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 2, p. 1-21
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| Subject: | Alternative stochastic trees | Leisen-Reimer Markov chains | flexible-forward pricing | numerical schemes for American option valuation | numerical techniques for American option Greeks | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786316500109 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011577108