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Search: subject:"finite-dimensional approximation"
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American options
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Laguerre polynomial
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finite-dimensional approximation
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indexed swing options
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least squares Monte Carlo
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moving average
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Bernhart, Marie
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Tankov, Peter
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Warin, Xavier
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Université Paris-Dauphine (Paris IX)
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1
A
finite
dimensional
approximation
for pricing moving average options
Bernhart, Marie
;
Tankov, Peter
;
Warin, Xavier
-
HAL
-
2010
price. The method uses a
finite
dimensional
approximation
of the infinite-dimensional dynamics of the moving average process …
Persistent link: https://www.econbiz.de/10008794235
Saved in:
2
A
Finite-Dimensional
Approximation
for Pricing Moving Average Options
Bernhart, Marie
;
Tankov, Peter
;
Warin, Xavier
-
Université Paris-Dauphine (Paris IX)
-
2011
price. The method uses a
finite-dimensional
approximation
of the infinite-dimensional dynamics of the moving average process …
Persistent link: https://www.econbiz.de/10010707486
Saved in:
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