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

Journal of Financial Economics

Volumn 83, Issue 2, 2007, Pages 471-499

  D Andricopoulos, Ari ^a   Widdicks, Martin ^b   Newton, David P ^c   Duck, Peter W ^a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

^c UNIVERSITY OF NOTTINGHAM   (United Kingdom)

Author keywords

Barrier options; Lookback options; Numerical techniques; Option valuation; Quadrature

Indexed keywords

EID: 33846542367     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.10.009     Document Type: Article

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