Analytical pricing of American options
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Publication:1937837
DOI10.1007/s11147-011-9073-6zbMath1256.91052OpenAlexW1998706230MaRDI QIDQ1937837
Publication date: 1 February 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-011-9073-6
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Optimal exercise of American put options near maturity: a new economic perspective ⋮ THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION ⋮ Pricing and exercising American options: an asymptotic expansion approach
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