Shout options: A framework for pricing contracts which can be modified by the investor

Journal of Computational and Applied Mathematics

Volumn 134, Issue 1-2, 2001, Pages 213-241

  Windcliff, H ^a   Forsyth, P A ^a   Vetzal, K R ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Interpolation; Linear complementarity; Shout options

Indexed keywords

COSTS; INTERPOLATION; TIME AND MOTION STUDY;

PRICING CONTRACTS;

CONTRACTS;

MATHEMATICAL METHOD;

EID: 0035448851     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-0427(00)00551-3     Document Type: Article

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