"On pricing arithmetic average reset options with multiple reset dates in a ..."

Massimo Costabile, Ivar Massabò, Emilio Russo (2011)

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DOI: 10.1016/J.CAM.2011.05.041

access: open

type: Journal Article

metadata version: 2021-02-16

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Massimo Costabile, Ivar Massabò, Emilio Russo:
On pricing arithmetic average reset options with multiple reset dates in a lattice framework. J. Comput. Appl. Math. 235(17): 5307-5325 (2011)

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