مرکز منطقه ای اطلاع رساني علوم و فناوري - Pricing exotic options with L-stable Padé schemes

Title of article :

Pricing exotic options with L-stable Padé schemes

Author/Authors :

A.Q.M. Khaliq، نويسنده , , D.A. Voss، نويسنده , , M. Yousuf، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2007

Pages :

From page :

3438

To page :

3461

Keywords :

Butterfly spread , barrier options , Pade´ schemes , L-stable methods , Black-Scholes model , Heston stochastic volatility model , Complex digital option

Journal title :

Journal of Banking and Finance

Serial Year :

2007

Journal title :

Journal of Banking and Finance

Record number :

194135

Link To Document :

https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=194135