Extending quadrature methods to value multi-asset and complex path dependent options

Author:

D. Andricopoulos Ari,Widdicks Martin,Newton David P.,Duck Peter W.

Publisher

Elsevier BV

Subject

Strategy and Management,Economics and Econometrics,Finance,Accounting

Reference34 articles.

1. A primal–dual simulation algorithm for pricing multi-dimensional American options;Andersen;Management Science,2004

2. Andricopoulos, A. D., 2002. Option pricing using quadrature and other numerical methods. Ph.D. Dissertation, University of Manchester, Manchester, UK.

3. Universal option valuation using quadrature methods;Andricopoulos;Journal of Financial Economics,2003

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. American option valuation: new bounds, approximations, and a comparison of existing methods;Broadie;Review of Financial Studies,1996

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