Progettazione, validazione ed implementazione di un modello reticolare avanzato per il pricing di un Flexible Forward su valute
The purpose of this article is to illustrate the pricing model for Flexi-Forward contracts written on currencies through the use of an advanced lattice approach, called AMM – Adaptive Mesh Method. Flexi-Forward, also known as time-option forward contract, is a financial product which provides for an...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIFIRM
2019-12-01
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| Series: | Risk Management Magazine |
| Subjects: | |
| Online Access: | https://www.aifirm.it/wp-content/uploads/2021/04/RMM-2019-03-Excerpt-5.pdf |