Pricing algorithms of multivariate path dependent options

Journal of Complexity

Volumn 17, Issue 4, 2001, Pages 773-794

  Kwok, Yue Kuen ^a   Wong, Hoi Ying ^a   Lau, Ka Wo ^a  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035702645     PISSN: 0885064X     EISSN: None     Source Type: Journal    
DOI: 10.1006/jcom.2001.0594     Document Type: Article

References (13)

1. The pricing of option and corporate liabilities
2. An explicit finite difference approach to the pricing of barrier options
3. A continuity corrections for discrete barrier options
4. Evaluation of callable bonds: Finite difference methods, stability and accuracy
5. The construction of hopscotch methods for parabolic and elliptic equations in two space dimensions with a mixed derivative
6. Double Lookbacks
7. Discrete partial barrier options with a moving barrier
8. "Mathematical Models of Financial Derivatives"
9. Pricing multi-asset options with an external barrier
10. The pricing of double barrier options and their variations
11. A simple approach to valuing risky fixed and floating rate debt
12. Faster valuation of financial derivatives
13. Double barrier options: Valuation by path counting