Pricing American Options Fitting the Smile
From MaRDI portal
Publication:2707141
DOI10.1111/1467-9965.00087zbMath1034.91038OpenAlexW2046248410MaRDI QIDQ2707141
David G. Richards, Michael A. H. Dempster
Publication date: 29 March 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00087
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (7)
American Option Valuation with Particle Filters ⋮ Pricing equity options everywhere ⋮ On accurate and provably efficient GARCH option pricing algorithms ⋮ On the computation of option prices and sensitivities in the Black–Scholes–Merton model ⋮ Analysis of quadrature methods for pricing discrete barrier options ⋮ Arbitrage-free smoothing of the implied volatility surface ⋮ Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
This page was built for publication: Pricing American Options Fitting the Smile
