Pricing exotic derivatives exploiting structure

Author:

Sesana Debora,Marazzina Daniele,Fusai Gianluca

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modelling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference37 articles.

1. Arithmetic Brownian motion and real options;Alexander;European Journal of Operational Research,2012

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

3. The numerical solution of integral equations of the second kind;Atkinson,2009

4. On the cost of delayed currency fixing announcements;Becker;Annals of Finance,2009

5. Option pricing under a normal mixture distribution derived from the Markov tree model;Bhat;European Journal of Operational Research,2012

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