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Found 19 Documents (Results 1–19)

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Fast pricing of European Asian options with provable accuracy: single-stock and basket options. (English) Zbl 1037.91041

Meyer auf der Heide, Friedhelm (ed.), Algorithms - ESA 2001. 9th annual European symposium, Århus, Denmark, August 28–31, 2001. Proceedings. Berlin: Springer (ISBN 3-540-42493-8). Lect. Notes Comput. Sci. 2161, 404-415 (2001).
MSC:  91G20 91B24
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Recent advances in numerical methods for pricing derivative securities. (English) Zbl 0898.90029

Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 43-66 (1997).
MSC:  91-02 91G60 91G20
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