Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods
Michael C. Fu, Dilip B. Madan and Tong Wang
| Year of publication: |
1999
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|---|---|
| Authors: | Fu, Michael ; Madan, Dilip B. ; Wang, Tong |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 2.1998/1999, 2, p. 49-74
|
| Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematik | Mathematics | Theorie | Theory | Optionsgeschäft | Option trading |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | In: The journal of computational finance |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001633397