Optimal control of European double barrier basket options
نویسندگان
چکیده
منابع مشابه
Optimal control of European double barrier basket options
We consider European double barrier basket call options on two underlyings with an upper and a lower knock-out barrier featuring a finite number of cash settlements at prespecified values of the underlyings between the strike and the upper barrier. The bilaterally constrained cash settlements are considered as controls that have to be chosen such that the Delta of the option is as close as poss...
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ژورنال
عنوان ژورنال: Journal of Numerical Mathematics
سال: 2011
ISSN: 1570-2820,1569-3953
DOI: 10.1515/jnum.2011.006