Exercisability Randomization of the American Option
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Publication:3518307
DOI10.1080/07362990802128669zbMath1273.91463OpenAlexW1996840484MaRDI QIDQ3518307
Publication date: 7 August 2008
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11073/16670
Related Items (4)
The randomized American option as a classical solution to the penalized problem ⋮ Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? ⋮ Option convergence rate with geometric random walks approximations ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA
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