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Search: subject:"Alternative stochastic trees"
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Option pricing theory
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Advanced lattice technique
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Alternative stochastic trees
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EAKO pricing
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Leisen-Reimer Markov chains
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adaptive mesh model
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alternative stochastic trees
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flexible-forward pricing
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multinomial trees
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numerical schemes for American option valuation
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numerical techniques for American option Greeks
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Giribone, Pier Giuseppe
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Fabbri, Mattia
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Ligato, Simone
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International journal of financial engineering
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ECONIS (ZBW)
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Design, implementation and validation of advanced lattice techniques for pricing EAKO : European American Knock-Out option
Fabbri, Mattia
;
Giribone, Pier Giuseppe
- In:
International journal of financial engineering
6
(
2019
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012314522
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2
Flexible-forward pricing through Leisen-Reimer trees : implementation and performance comparison with traditional Markov chains
Giribone, Pier Giuseppe
;
Ligato, Simone
- In:
International journal of financial engineering
3
(
2016
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011577108
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