Extending quadrature methods to value multi-asset and complex path-dependent options

Accounting and Finance

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published

Standard

Extending quadrature methods to value multi-asset and complex path-dependent options. / Andricopoulos, A D; Widdicks, M; Newton, D P et al.
In: Journal of Financial Economics, Vol. 83, No. 2, 2007, p. 471-499.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Andricopoulos, AD, Widdicks, M, Newton, DP & Duck, PW 2007, 'Extending quadrature methods to value multi-asset and complex path-dependent options', Journal of Financial Economics, vol. 83, no. 2, pp. 471-499.

APA

Andricopoulos, A. D., Widdicks, M., Newton, D. P., & Duck, P. W. (2007). Extending quadrature methods to value multi-asset and complex path-dependent options. Journal of Financial Economics, 83(2), 471-499.

Vancouver

Andricopoulos AD, Widdicks M, Newton DP, Duck PW. Extending quadrature methods to value multi-asset and complex path-dependent options. Journal of Financial Economics. 2007;83(2):471-499.

Author

Andricopoulos, A D ; Widdicks, M ; Newton, D P et al. / Extending quadrature methods to value multi-asset and complex path-dependent options. In: Journal of Financial Economics. 2007 ; Vol. 83, No. 2. pp. 471-499.

Bibtex

@article{24121bcc5eb843a3b3c904a11e7463cb,

title = "Extending quadrature methods to value multi-asset and complex path-dependent options",

author = "Andricopoulos, {A D} and M Widdicks and Newton, {D P} and Duck, {P W}",

year = "2007",

language = "English",

volume = "83",

pages = "471--499",

journal = "Journal of Financial Economics",

issn = "0304-405X",

publisher = "Elsevier",

number = "2",

}

RIS

TY - JOUR

T1 - Extending quadrature methods to value multi-asset and complex path-dependent options

AU - Andricopoulos, A D

AU - Widdicks, M

AU - Newton, D P

AU - Duck, P W

PY - 2007

Y1 - 2007

M3 - Journal article

VL - 83

SP - 471

EP - 499

JO - Journal of Financial Economics

JF - Journal of Financial Economics

SN - 0304-405X

IS - 2

ER -

Research