A Note on Pricing Weakly-path-dependent American-style Options by Backward Induction
October 25, 2002
Bank of America Working Paper
We present a new technique for pricing PATH DEPENDENT American-style options where path-dependence is of special kind which we term "weak path dependence".
Number of Pages in PDF File: 5
Keywords: American options, path dependence, PDE, lattice, accreting notionals, Bermuda swaptionsworking papers series
Date posted: March 25, 2003
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