Pricing exotic derivatives exploiting structure
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Oleg L. Kritski & Vladimir F. Zalmezh, 2017. "Asymptotics for Greeks under the constant elasticity of variance model," Papers 1707.04149, arXiv.org, revised Jul 2017.
- repec:eee:ejores:v:266:y:2018:i:3:p:1134-1139 is not listed on IDEAS
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, vol. 251(1), pages 124-134.
- Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016. "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," LSE Research Online Documents on Economics 67564, London School of Economics and Political Science, LSE Library.
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More about this item
KeywordsCEV process; Discrete monitoring; Exotic derivatives; Matrix Factorization; Numerical quadrature; Option pricing;
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