Efficient Semi-Discretization Techniques for Pricing European and American Basket Options
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DOI: 10.1007/s10614-018-9819-4
Abstract: This paper studies the valuation of option pricing problem in the presence of several assets. European- and American-style options are dealt with using high order semi-discretization techniques. We integrate the resulting system of semi-discretized ODEs… read more here.
Keywords: european american; techniques pricing; semi discretization; discretization techniques ... See more keywords