Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 41st ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Nov. 2009, Kobe)
On the Pricing of an Exotic Warrant
Jirô Akahori, Ryutarou Akasaka
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2010 Volume 2010 Pages 241-245

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Abstract
The present paper is a survey on our studies on pricing of an exotic warrant. The problem becomes a double stopping problem and is solved numerically by constructing “binary forest”.
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© 2010 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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