Banks weighing up move to non-interpolated standard to cut capital costs
In this paper the authors present an efficient convergent lattice method for Asian option pricing with superlinear complexity.
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
By means of B-spline interpolation, this paper provides an accurate closed-form representation of the option price under an inverse Fourier transform.
Trust is good, control is better – Complex model validation
Filling the gaps