Path Independence of Exotic Options and Convergence of Binomial Approximations
The analysis of the convergence of tree methods for pricing barrier and lookback options has been the subject of numerous publications aiming at describing, quantifying, and improving the slow and oscillatory convergence in such methods. For barrier and lookback options, we find path-independent opt...
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| Format: | article |
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2019
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| Online Access: | http://hdl.handle.net/11073/16662 |
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