On the American Option Value Near its Exercise Region

DOI10.1007/978-3-540-71992-2_108zbMath1308.91159OpenAlexW93554790MaRDI QIDQ3618167

Etienne Chevalier

Publication date: 31 March 2009

Published in: Progress in Industrial Mathematics at ECMI 2006 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71992-2_108

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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