Pricing cliquet options by tree methods

Marcellino Gaudenzi () and Antonino Zanette

Computational Management Science, 2011, vol. 8, issue 1, 125-135

Keywords: Option pricing; Cliquet options; Tree methods; Singular points (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10287-009-0109-4 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:comgts:v:8:y:2011:i:1:p:125-135

Ordering information: This journal article can be ordered from
http://www.springer. ... ch/journal/10287/PS2

DOI: 10.1007/s10287-009-0109-4

Access Statistics for this article

Computational Management Science is currently edited by Ruediger Schultz

More articles in Computational Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().